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hull 06.11
by
btzoho
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Q 06. 11: Theoretical Price of Treasury Bond Futures Contract
7/30/2005
2/4/2005
2/4/2005
Cheapest to deliver (CTD) will be 12% coupon, CF = 1.5
9/30/2005
7/30/2005
8/4/2005
62
176
181
Face
$100.00
Coupon
Current Quoted Price
$110.00
Coupon
13.0%
177
days
Interest rate
11.65%
F=(Spot - Lump Sum Income)*EXP[rT]
Conversion Factor
1.50
Current
1. Use COC to calculate "dirty" Forward
Delivery (days)
62
Spot =
$116.32
Last Coupon (-days)
177
5
days
Lump Income =
$6.490
Next Coupon (+ days)
5
Forward Price =
$112.028
Coupon
(implied cash futures price if 12% bond)
Accrued Interest
$6.321
Cash (Dirty Price)
$116.321
57
days
2. Tranlate dirty > clean, standard bond
PV of coupon
$6.490
Quoted Price, 12% bond =
$110.003
Cash Futures Price
$112.028
Maturity
(add AI)
Days Accrue, @ delivery
57
Days Remain, @ delivery
126
days
Quoted Futures price
$73.34
Quoted FP, 12% bond
$110.003
(divide CF)
Coupon
Quoted FP, CTD
$73.335
Hull 6_2_ Price T_bond Futures
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