Question
This is about teh current quoted futures price for a futures contract delivery in 14 months of a bond paying, semi annually, coupon at a
This is about teh current quoted futures price for a futures contract delivery in 14 months of a bond paying, semi annually, coupon at a rate of 10.33 percent per year on $100 face value, with a maturity of 16.22 years and 3 months from now. The last coupon payment was 3 months ago. Assume that the term structure is flat with a rate of interest 12 percent per year. Assume semi-annually compounding for valuation of bond and for determination of conversion factor. Assume continuous compounding for valuation of futures price. Answer the following:
1. Conversion Factor
2. Cash spot price of bond
3. Cash futures price
4. Quoted futures price
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