How is conversion factor of bond calculated by the cme group

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1. It is January 9, 2013. The price of a Treasury bond with a 12% coupon that matures on October 12, 2020, is quoted as 102-07. What is the cash price?

2. How is the conversion factor of a bond calculated by the CME Group? How is it used?

3. A Eurodollar futures price changes from 96.76 to 96.82. What is the gain or loss to an investor who is long two contracts?

4. What is the purpose of the convexity adjustment made to Eurodollar futures rates? Why is the convexity adjustment necessary?

5. The 350-day LIBOR rate is 3% with continuous compounding and the forward rate calculated from a Eurodollar futures contract that matures in 350 days is 3.2% with continuous compounding. Estimate the 440-day zero rate.

Reference no: EM131235872

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