Cheapest to Deliver Bond

balajismz
Finance Junkie
Posts: 63
Joined: Mon Nov 05, 2012 9:13 am

Cheapest to Deliver Bond

Postby balajismz » Sat Nov 10, 2012 11:07 pm

Consider a Treasury bond futures contract wherethe cheapest to deliver bond is a 10% coupon bond. The delivery is going to happen in 240 days. The last coupon date was 50 days ago, the next coupon date will be after 132 days and the next to next coupon date will be after 315 days. The bond pays semi-annual coupons. The rate of interest is 8% per annum compounded continuously. The quoted bond price currently is $115. Determine the quoted bond future price if the conversion ratio is 1.3000.
Choose one answer.
a. $88.14
b. $96.54
c. $116.37
d. $117.54

Can someone try this??

Balaji

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balajismz
Finance Junkie
Posts: 63
Joined: Mon Nov 05, 2012 9:13 am

Re: Cheapest to Deliver Bond

Postby balajismz » Mon Nov 12, 2012 2:17 pm

Admin,

Could you please address this query?

Thanks

Balaji


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