Explanation:
Invoice price is: clean price + accrued interest.
$100,000 × 0.7 × 1.3 + $1,500 = $92,500
Ultimate access to all questions.
Question 80
Assume a bond trader takes a short position in a March T-bond futures contract and that the settlement price of the bond in March will be 70. Also, assume that the conversion factor is equal to 1.3. The trader plans on delivering the bond's coupon payments in May and November. If the accrued interest from November to March is equal to $1,500, what is the invoice price of the cheapest-to-deliver bond (face value = 100,000)?
A
$91,000.
B
$92,500.
C
$55,346.
D
$71,500.
No comments yet.