Additional+Notes+including+solution+of+5.11+and+5.21+Chapter+5+SfR

Additional+Notes+including+solution+of+5.11+and+5.21+Chapter+5+SfR

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Chapter 5 [FIN 480 (Faculty: SfR)] Additional Notes: Treasury bond futures contracts Underlying asset Any Treasury bond which has a maturity of more than 15 years on the delivery date of the futures contract and is not callable within 15 years from that date may be delivered. The price received by the seller of the futures contract is adjusted depending on the characteristics of the bond that is delivered. Quoted price of a bond Price that you see in the newspaper or the price quoted to you from a bond dealer Cash price of a bond Price actually paid for the bond Cash price = Quoted price + Accrued interest since last coupon date Conversion factor for a bond that is delivered The conversion factors are specified by the futures exchange. One of a number of bonds may be delivered by the short. If the conversion factor of the bond that is delivered is CF, the cash that the short receives is: Quoted futures price x Conversion factor for the bond delivered + Accrued interest on the bond delivered since the last coupon date
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This note was uploaded on 03/23/2011 for the course BUSINESS bus 173 taught by Professor Rtm during the Spring '11 term at IUP.

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Additional+Notes+including+solution+of+5.11+and+5.21+Chapter+5+SfR

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