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Calculate the fair value of the following contracts with 50 trading days (t = 50/250 =...

Calculate the fair value of the following contracts with 50 trading days (t = 50/250 = 0.20
years) to expiration and a continuously compounded annual risk-free rate of 1.5%.

A U.S. Treasury bond futures contract with the market price of the cheapest-to-
deliver (CTD) bond equal to 84 16/32 (84.500). The CTD bond has a coupon rate
of 5.0% paid semi-annually, accrued interest today of $0.5 per $100 of face, and a
delivery factor of 0.9140.

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