A futures contract expiring in 15 months calls for delivery


A Treasury Bond with $1,000 par value and 6 years to maturity pays a 6% semiannual coupon. The YTM is 8%, APR semi-annual compounding. A coupon has just been paid. A futures contract expiring in 15 months calls for delivery of this bond only. The risk-free rate is 5% EAR. Calculate the futures price.

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Financial Management: A futures contract expiring in 15 months calls for delivery
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