Q2. Trader Z holds short one T- Bond futures with delivery month DEC. It is now The 6th trading day in DEC and Z decides to deliver against her short position. The DEC T-Bond futures settlement price...


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Q2.<br>Trader Z holds short one T- Bond futures with delivery month DEC. It is<br>now The 6th trading day in DEC and Z decides to deliver against her short<br>position.<br>The DEC T-Bond futures settlement price was 101 - 12 yesterday.<br>Z considers the delivery of one of the following four deliverable T-Bonds:<br>Bond<br>Market price<br>Conversion Factor<br>A<br>125-05<br>1.2131<br>B<br>142-15<br>1.3792<br>C<br>115-31<br>1.1149<br>144-02<br>1.4026.<br>Which of these T-Bonds will be delivered and why. Show all your<br>calculations.<br>1.<br>

Extracted text: Q2. Trader Z holds short one T- Bond futures with delivery month DEC. It is now The 6th trading day in DEC and Z decides to deliver against her short position. The DEC T-Bond futures settlement price was 101 - 12 yesterday. Z considers the delivery of one of the following four deliverable T-Bonds: Bond Market price Conversion Factor A 125-05 1.2131 B 142-15 1.3792 C 115-31 1.1149 144-02 1.4026. Which of these T-Bonds will be delivered and why. Show all your calculations. 1.

Jun 03, 2022
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