What is the calculated quoted futures price for a September 2022

EBK CONTEMPORARY FINANCIAL MANAGEMENT
14th Edition
ISBN:9781337514835
Author:MOYER
Publisher:MOYER
Chapter6: Fixed-income Securities: Characteristics And Valuation
Section: Chapter Questions
Problem 13P
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What is the calculated quoted futures price for a September 2022 Treasury bond futures contract given that the date is July 30, 2022? The associated bond is a 13% coupon bond set for delivery on September 30, 2022. The bond makes coupon payments twice a year, specifically on February 4 and August 4. The interest rate, compounded semiannually, is a steady 12% annually. The bond's conversion factor is 1.5, and the current quoted price for the bond stands at $110.

 
 
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