Question
The quoted price of a January CBOT Treasury bond futures contract is 78-07. The par value is $1,000 with 5% coupon rate (Semi-Annual payment) and
The quoted price of a January CBOT Treasury bond futures contract is 78-07. The par value is $1,000 with 5% coupon rate (Semi-Annual payment) and the maturity is 15 years. If the annual interest rates increases by 1%, calculate the gain or loss on the futures contract.
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International Financial Management
Authors: Jeff Madura
7th Edition
0324071744, 978-0324071740
