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We have a short position on a futures contract. Today is the repartition day. Consider a futures contract with size of $1,000 whose price is
We have a short position on a futures contract. Today is the repartition day. Consider a futures contract with size of $1,000 whose price is 95% and three bonds denoted by A, B, and C with the following features of quoted price (P), conversion factor (CF), and accrued interest (AC). Bond A: P=112.67%, CF=119.96%, AC=2.5%. Bond B: P=111.54%, CF=121.3%, AC=4.2%; Bond C: P=111.47%, CF=119.78%, AC=1%. What is the net profit or loss if Bond C is delivered?
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