It's July 30, 2017. The cheapest-to-deliver bond in a Sept 2017 Treasury bond futures contract is a 9% coupon bond and delivery is expected to be made on Sept 30, 2017. Coupon payments on the bond are made on Feb 4 and Aug 4 each year. The term structure is flat, and the rate of interest with continuous compounding is 9% per annum. The conversion factor of the bond is 1.7. The current quoted bond price is $107. Calculate the quoted futures price of the contract.
(required precision: 0.01 +/- 0.01)
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It's July 30, 2017. The cheapest-to-deliver bond in a Sept 2017 Treasury bond futures contract is...
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