The yield curve is upward sloping, you have a short tbond interest rate futures position. The following bonds are eligible for delivery.
Bonds Spot Price Conversion Factor Coupon Rate
A 102.44 0.98 4%
The future price is 103-17/32 and the maturity date of contract is sept 1. The bond pay their coupon amount semi annually on June 30 and December 31.
The working
Cost bond A = 102.44-(103.53*.98)=.98
My question: Why didn't they consider the accrued interest of the Bond (the dirty price)? I thought we need to consider that?
Bonds Spot Price Conversion Factor Coupon Rate
A 102.44 0.98 4%
The future price is 103-17/32 and the maturity date of contract is sept 1. The bond pay their coupon amount semi annually on June 30 and December 31.
The working
Cost bond A = 102.44-(103.53*.98)=.98
My question: Why didn't they consider the accrued interest of the Bond (the dirty price)? I thought we need to consider that?
