Value of six-month futures contract on treasury bond

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Reference no: EM131072868

Calculate the value of a six-month futures contract on a Treasury bond. You have the following information: (Do not round intermediate calculations.

Round your answer to 3 decimal places.)

• Six-month interest rate: 10% per year, or 4.9% for six months.

• Spot price of bond: 92.50.

• The bond pays an 8% coupon, 4.0% every six months.

Contract value $__________

Reference no: EM131072868

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