By what amount will the market value of a Treasury bond futures contract change if interest rates rise from 5 to 5.25 percent? The underlying Treasury bond has a dura- tion of 10.48 years and the Treasury bond futures contract is currently being quoted at 113-06. (Remember that Treasury bonds are quoted in 32nds.)

By what amount will the market value of a Treasury bond futures contract change if interest rates rise from 5 to 5.25 percent? The underlying Treasury bond has a dura- tion of 10.48 years and the Treasury bond futures contract is currently being quoted at 113-06. (Remember that Treasury bonds are quoted in 32nds.)

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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7. By what amount will the market value of a Treasury bond futures contract change if
interest rates rise from 5 to 5.25 percent? The underlying Treasury bond has a dura-
tion of 10.48 years and the Treasury bond futures contract is currently being quoted
at 113-06. (Remember that Treasury bonds are quoted in 32nds.)

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You find the following Treasury bond quotes. To calculate the number of years until maturity, assume that it is currently May 2019 and the bond has a par value of $1,000. Maturity Mo/Yr Ask Yld Rate Bid Asked 103.5462 103.5340 Chg ?? May 29 5.999 104.4952 104.6409 +.4293 6.252 May 34 ?? +.5405 6.163 May 44 ?? ?? 4.031 a. In the above table, find the Treasury bond that matures in May 2044. What is the asked price of this bond in dollars? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) b. If the bid-ask spread for this bond is .0654, what is the bid price in dollars? (Do not round intermediate calculations and round your answer to 2 decimal places, e.g., 32.16.) a. Asked price b. Bid price +.3015
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mni.3
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