What should a futures contract on the bond that expires in


A coupon bond is currently priced at $950 and pays a $60 coupon in three months. Assuming a three-month risk-free rate of 4% and an eight-month risk-free rate of 5%, what should a futures contract on the bond that expires in eight months be selling for? How could an arbitrageur profit if the contract were selling for $940 and what would the profit be?

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Financial Management: What should a futures contract on the bond that expires in
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