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Question 17 Not yet answered Suppose that a Treasury bond futures contract's quoted price is 101-15. Which of the following three bonds is cheapest to deliver? Marked out of 1.00 Bond spot price and conversion factor Quoted spot price Conversion factor 105-10 0.9678 108-20 0.9789 Bond p Flag 1 question 2 w N 3 107-30 0.9901 a. Bond 3 Ob Bond 1 OcBond 2 Question 18 Not yet The theoretical futures price of a Treasury bond futures contract calculated using the formula: "Future value of the spot price of bond A on the first delivery date - Future value of all coupons paid on bond A on the first delivery date" is $101-12 answered Marked out of 1.00 Flag The actual futures price is $99-15. The eligible deliverable bonds consist of bonds A, B, C, D, E, F, G, H, I, J, K, L, M, N. Which of the following is correct? question O a. A riskless arbitrage can be conducted by buying the futures contract and short-selling bond A O b. A riskless arbitrage can be conducted by selling the futures contract and buying bond A It is not possible to conduct a riskless arbitrage in this situation Question 19 Not yet It is January 30. You are managing a bond portfolio currently worth $10 million. In 9 months, the duration of the portfolio will be 12 years. The December Treasury bond futures contract's price is 105-12 and the cheapest to deliver bond will have a duration of 9 years on the first delivery date. How would you hedge against changes in interest rates over the next 9 months? answered Marked out of 1.00 a. Sell 126,532 22 Treasury bond futures contracts p Flag b. Sell 126.5322 Treasury bond futures contracts question Buy 126.5322 Treasury bond futures contracts

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