Question

The current quoted price of a 13% coupon bond is $110. It pays coupon semi-annually.
The next coupon will be paid in 6-days (total number of days in this semi-annual period is
181) and the futures contract will last for 62-days. The term structure rate of interest is flat
at 12ºo and the conversion factor for the bond is 1.5. Assume there is 184-days in half year
for the futures. Compute the quoted futures price of the contract.
(A) SI10.01
(B) $73.34
(C) S112.03
(D) S109.83​

Answer 1

Answer:

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Answer 2

Answer:

B. $73.34

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