Derivatives, Portfolio Management

2. The futures price for the June 17, 2009 CBOT bond futures contract is 118-23.

(a) Calculate the conversion factor for a bond maturing on Jan 1, 2025, paying a coupon rate of 9.5%. (5 points)
(b) Calculate the conversion factor for a bond maturing on Oct 1, 2030, paying a coupon rate of 7.5%. (5 points)
(c) Suppose that the quoted prices of the bonds in (a) and (b) are 167 and 134, respectively. Which bond is cheaper to deliver? (5 points)
(d) Assuming the cheapest-to-deliver bond is actually delivered, what is the cash price received for the bond? (5 points)
Posted Date: 12/6/2012 4:45:17 PM | Location : United States







Related Discussions:- Derivatives, Assignment Help, Ask Question on Derivatives, Get Answer, Expert's Help, Derivatives Discussions

Write discussion on Derivatives
Your posts are moderated
Related Questions
Accelerated Share Repurchase is a specific method through which corporations can again purchase outstanding shares of their stock. The accelerated share repurchase (ASR) is general

An investment manager at TD Ameritrade is making a decision about a $10,000,000 investment.  There are four portfolio options available and she is looking at annual return of these

Question 1 An investor would like to buy a futures contract on the ALCOA share. Today's price of the ALCOA share is $17. The maturity of the futures contract is in 6 months and

wheres my dough bread cheese schrilla forbes beta feedback funds green notes;

i have aquestion.

A trade association presenting the title insurance sector. It was founded in 1907. The American Land Title Association also focuses on a property's abstract of title, which binds t

i need help to complete my coursework.

You learn taht the Wilshire 5000 market value weighted index increased by 16% during a specific period, whereas a Wilshire 5000 equal-weighted index increased by 23% during the sam

1. What are basic assumptions of CAPM? What are the advantages of adopting CAPM model in the portfolio management?

Prepare a separate stock recommendation analysis for AT&T and Google. For each company determine a rational valuation of the stock using a multi statge dividend discount model. Com