A deliverable Treasury bond has accrued interest of 3.42 per $100, a coupon of 9.5 percent,...
A deliverable Treasury bond has accrued interest of 3.42 per $100, a coupon of 9.5 percent, a price of 135 and a conversion factor of 1.195. The futures price is 112.25. What is the invoice amount?
- 137.56
- 143.64
- 161.33
- 134.14
Homework Answers
The invoice amount is computed as shown below:
= Futures price x conversion factor + accrued interest
= 112.25 x 1.195 + 3.42
= 137.56 Approximately
So the correct answer is option a i.e. 137.56
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