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It is June 25, 2007. The futures price for the June 2007 CBOT bond futures contract is 118-23.

a. find out the conversion factor for a bond maturing on January I, 2023, paying coupon of 10%.

b. find out the conversion factor for a bond maturing on October 1, 2028, paying a coupon of 7°/1.

c. Suppose that the quoted prices of the bonds in (a) and (b) are 169.00 and 136.00, respectively. Which bond is cheaper to deliver?

d. Assuming that the cheapest-to-deliver bond is actually delivered, what is the cash price received for the bond?

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  • Category:- Basic Finance
  • Reference No.:- M952548

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