Chapter 11 Martellini Class Problems

Chapter 11 Martellini Class Problems - Bond 1 105.85...

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CLASS PROBLEMS CHAPTER 11 MARTELLINI 1. If a futures contract is $1,000,000 and the price is 97, while the conversion factor is 107.548%, and the accrued interest is 2½%, what will the invoice price be? 2. A futures contract for $1,000,000 has a price of 96%, and four bonds listed below have the following information. Which bond maximizes IP ─ CP. Quoted price Conversion factor (%) IP ─ CP ($)
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Unformatted text preview: Bond 1 105.85 108.226 _________ Bond 2 120.80 126.624 _________ Bond 3 141.50 145.355 _________ Bond 4 150.20 153.455 _________ 3. On June 1, 2007, I was considering purchasing a forward contract which would mature in six months, based on a corporate bond with an 8% coupon rate and a price of 110. If the borrowing rate is 5%, what should be the forward price? 2...
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Chapter 11 Martellini Class Problems - Bond 1 105.85...

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