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Today is July 1 . You hold a November Treasury bond futures contract with a price of 92:15 ( 1. , 92 plus 15 / 327 ) , with a delivery date of...
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Today is July 1 . You hold a November Treasury bond futures contract with a price of 92:15( 1. e . , 92 plus 15 / 327 ) , with a delivery date of November 15 in the same year . You haveidentified the two bonds below that could be used for delivery against the futures contractBond ABond BMaturity26 . 5 years31 yearsCoupon rate50/8 . 5910Asking price97:2144:13Coupon datesApril 15 , October 15June 15 . December 15CallableNONOAssume that the next year is not a leap year , and that the market repo rate is 5.509 /Identify the cheapest - to - deliver band