Problem

12. Suppose there are two deliverable bonds in the Treasury Bond futures contract, a 15-ye...

12. Suppose there are two deliverable bonds in the Treasury Bond futures contract, a 15-year 8% coupon bond and a 22-year 8% coupon bond. Assume the last coupon on both bonds was just paid. Which bond has the higher conversion factor? (Guess the answer first and then verify it by computation.)

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Solutions For Problems in Chapter 2