There is a treasury futures with 100 days left to maturity. The term structure of

interest rates is at and the short rate is assumed to be constant and equal to 5%

(c.c.). Suppose we know the cheapest-to-deliver bond is a 10% semi-annual coupon

paying bond with 20 years and 120 days left to maturity (the last coupon payment was

63 days ago and the next coupon payment is in 120 days).

(a) What is the cash price of the cheapest-to-deliver bond today? What is the quoted

price of the bond?

(b) What is the conversion factor of the cheapest-to-deliver bond?