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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
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