Question

A Treasury bond futures price is $103-12$. The prices of three deliverable bonds are $115-06$, 135-12, and 155-28. Their conversion factors are $1.0679,1.2264$, and 1.4169 , respectively. Which bond is cheapest to deliver? 

   A Treasury bond futures price is $103-12$. The prices of three deliverable bonds are $115-06$, 135-12, and 155-28. Their conversion factors are $1.0679,1.2264$, and 1.4169 , respectively. Which bond is cheapest to deliver?
Options, Futures, and Other Derivatives
Options, Futures, and Other Derivatives
John C. Hull 10th Edition
Chapter 6, Problem 24 ↓

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The futures price is $103-12$, which means $103 + \frac{12}{32} = 103.375$.  Show more…

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A Treasury bond futures price is $103-12$. The prices of three deliverable bonds are $115-06$, 135-12, and 155-28. Their conversion factors are $1.0679,1.2264$, and 1.4169 , respectively. Which bond is cheapest to deliver?
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