2010-10-09_223704_CBOT
1
Suppose the December CBOT Treasury bond futures contract has a quoted price of 80-07. The T-bond is a 20-year 6% coupon bond and the interest is paid semi-annually. What is the implied annual interest rate inherent in the futures contract? a) 6.86 b) 7.22 c) 7.60 d) 8.00 e) 8.40 Quote:80’070.80 0.07 N: 40 PV = (0.80+0.07/32) × $1,000 = -$802.1875 FV = $1,000 PMT = $30 I/YR = 4.00% Annual rate: I/YR × 2 = 8.00%
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Transcript of 2010-10-09_223704_CBOT
Suppose the December CBOT Treasury bond futures contract has a quoted price of 80-07. The T-bond is a 20-year 6% coupon bond and the interest is paid semi-annually. What is the implied annual interest rate inherent in the futures contract? a) 6.86 b) 7.22 c) 7.60 d) 8.00 e) 8.40
Quote: 80’07 0.80 0.07
N: 40PV = (0.80+0.07/32) × $1,000 = -$802.1875FV = $1,000PMT = $30I/YR = 4.00%
Annual rate: I/YR × 2 = 8.00%
