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# CH15 - CHAPTER 15 1 A bond futures contract with one...

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CHAPTER 15 1. A bond futures contract with one deliverable bond has a maturity date in 2 years from now have, par value of \$100, and annual coupon of \$8. If the futures delivery date is in 1 year, determine the futures price if (a) R 0,1 = R 0,2 = 8 percent. (b) R 0,1 = 5 percent, R 0,2 = 10 percent. f + 1 Par + C = F 0,2 a. 100 = 1.08 108 = F b. ) f + (1 ) R + (1 = ) R + (1 0,2 0,1 2 0,2 % 24 . 15 1524 . 0 f ) f 1 )( 05 . 1 ( ) 10 . 1 ( 2 , 0 2 , 0 2 = = + = 72 . 93 1524 = 1. 108 = F 2. Consider a bond futures contract with one deliverable bond having a maturity date in 3 years choose from, par value of \$100, and annual coupon of \$8. If the futures delivery date is in 1 year, determine the futures price if (a) R 0,1 = R 0,2 = R 0,3 = 8 percent. (b) R 0,1 = 5 percent, R 0,2 = 7 percent, R 0,3 = 9 percent. a. 100 = 8) (1.08)(1.0 108 + 1.08 8 = F b. (1.07) 2 = (1.05)(1 + f 0,2 ) f 0,2 = 9.04% (1.09) 3 = (1.07) 2 (1 + f 0,3 ) f 0,3 = 13.11% 94.90 = 1.13113) (1.09038)( 108 + 1.09038 8 = F

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3. A bond futures contract has one deliverable bond with a maturity date in 3 years from now have, par value of \$100, and annual coupon of \$8. If the futures delivery date is in 2 years, determine the futures price if (a) R 0,1 = R 0,2 = R 0,3 = R 0,4 = 8 percent. (b) R 0,1 = 5 percent, R 0,2 = 7 percent, R 0,3 = 9 percent.
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CH15 - CHAPTER 15 1 A bond futures contract with one...

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