It is February 11, 2019. The cheapest-to-deliver bond in a December 2019 Treasury bond futures...
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It is February 11, 2019. The cheapest-to-deliver bond in a December 2019 Treasury bond futures contract is an 8% coupon bond with a conversion factor of 1.2195, and delivery is expected to be made on December 31, 2019. Coupons on the bond are paid on March 1 and September 1 each year. The term structure is flat, and the rate of interest with continuous compounding is 5% per annum. The current quoted bond price is $137. Calculate the quoted futures price for the contract.
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