Calculate the value of a six-month futures contract on a Treasury bond. You have the following information:
Value of future contract = Stock price * (1 + Risk free interest rate - Dividend yield)
= 91 * (1 + 0.054 - (4.50/91)
= 91 * 1.00454945
= 91.414
Value of future contract = 91.414
Calculate the value of a six-month futures contract on a Treasury bond. You have the following...
Problem 26-9 Futures prices Calculate the value of a six-month futures contract on a Treasury bond. You have the following information: Six-month interest rate: 11% per year, or 5.40% for six months. Spot price of bond: 91.00. The bond pays a 9% coupon, 4.50% every six months.
It is February 11, 2019. The cheapest-to-deliver bond in a December 2019 Treasury bond futures contract is an 8% coupon bond with a conversion factor of 1.2195, and delivery is expected to be made on December 31, 2019. Coupons on the bond are paid on March 1 and September 1 each year. The term structure is flat, and the rate of interest with continuous compounding is 5% per annum. The current quoted bond price is $137. Calculate the quoted futures...
It's July 30, 2017. The cheapest-to-deliver bond in a Sept 2017 Treasury bond futures contract is a 9% coupon bond and delivery is expected to be made on Sept 30, 2017. Coupon payments on the bond are made on Feb 4 and Aug 4 each year. The term structure is flat, and the rate of interest with continuous compounding is 9% per annum. The conversion factor of the bond is 1.7. The current quoted bond price is $107. Calculate the...
Suppose you purchase a Treasury bond futures contract at a price of 90 percent of the face value, $100,000. a. What is your obligation when you purchase this futures contract? b. Assume that the Treasury bond futures price falls to 88.10 percent. What is your loss or gain? c. Assume that the Treasury bond futures price rises to 91.90. What is your loss or gain? What is your obligation when you purchase this futures contract? You are obligated to purchase...
Consider a futures contract on an equity index. You have the following data. The equity index has an annualized, continuously compounded dividend yield of 2.46%. The futures contract expires in 7 months. The risk-free rate of interest with continuous compounding is 2.8% per annum. The spot market value of the index is 36.4. What is the no-arbitrage futures price of this equity index futures contract?
Suppose you purchase a Treasury bond futures contract at a price of 95 percent of the face value, $100,000. a. What is your obligation when you purchase this futures contract? b. Assume that the Treasury bond futures price falls to 94 percent. What is your loss or gain? c. Assume that the Treasury bond futures price rises to 97. What is your loss or gain?
This morning you agreed to buy a one-year Treasury bond in six months. The bond has a face value of $1,000. Use the spot interest rates listed here to answer the following questions. Time EAR 6 months 3.69 % 12 months 4.13 18 months 4.81 24 months 5.53 a. What is the forward price of this contract? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) b. Suppose shortly after you purchased the...
You purchase a Treasury-bond futures contract with an initial margin requirement of 15% and a futures price of $115,850. The contract is traded on a $100,000 underlying par value bond. If the futures price falls to $108,600, what will be the percentage loss on your position? (Input the value as positive value. Do not round intermediate calculations. Round your answer to 2 decimal places.) Total percentage loss %
A trader owns 55,000 units of a particular asset and decides to hedge the value of her position with futures contracts on another related asset. Each futures contract is on 5,000 units. The spot price of the asset that is owned is $28 and the standard deviation of the change in this price over the life of the hedge is estimated to be $0.43. The futures price of the related asset is $27 and the standard deviation of the change...
A 10-year Treasury bond with par value of $1,000 has a 6% p.a. coupon rate and pays interest every six months. The bond is four years old and has just made its eighth payment. The market now requires a 7% p.a. return on the bond. What is the expected price of the bond? a. $965.63 b. $981.63 c. $809.34 d. $951.68 e. $1,000.00