1. You are told that that the price of a T-Bond maturing on November 15 2037 is 127.094, and the associated conversion factor for DEC futures is 1.2450. The DEC Futures is trading at 105-23. Assume that the coupon rate on the bond is 5%. The futures contract will mature on December 15, and today's date is December 13, 2019. Consider 184 days in one half year.
2. The face value of a treasury bond is: ______________________ dollars.
3. What is the accrued interest? _____________________
4. What is the dollar price of the bond? _________________________
5. What is the face value of the T-bond futures? ____________________
6. What is the decimal futures price? _____________________
7. What is the invoice amount on the futures? _________________________
8. Estimate the profit/loss if you delivered bond against the futures contract?