Assignment task:
It is August 1st, 2022. For some reason, you want to price a US Treasury bond "Ultra T-bond" futures contract. The Ultra T. bond futures you are considering matures on September 30th, 2022. Your best Junior Analyst Katie let you know that the 'cheapest-to-deliver' bond is a 10-year US treasury with an8%annual coupon, paid semi-annually, which has coupon payments every Apr 30th and Oct 31st. There have been 91 days since the bond's last coupon payment and are 182 days in the current coupon period. Thus, there are also 91 days until the bond's next coupon (on Halloween). There are 61 days from now until maturity of the Uitra T-bond (until Sept 30 th). The current quoted price of the bond is$107. Assume the term structure is flat, with10%annual continuous compounding. The bond's conversion factor is 1.15 . What is the dirty futures price of the Ultra T-bond, after adjusting for accrued interest, but before applying the bond's conversion factor?
A) $105.51
B) $107.49
C) $111.01
D) $114.17