Theoritical value of a contract
Hello everyone ! I have a financial maths exercice that i want to work on but i'm stuck at the beggining since , well , my financial vocabulary is quite limited so i dont understand some of the data that is given...anyways i would like to know first how to proceed to solve the first question of this exercice
PS: i have the solution and it says that the three theoritical future prices are respectively : 123.75 124.90 126.55 , but i dont know how to proceed to get these results...
On January 31, 2011, the price of the Euro-bund contract for the March 2011 maturity was 123.70. Based on the information available in appendix 1 and 2:
- Determine the theoretical value of the contract.
- Determine the implied repo rate.
- Determine the result of a cash-and-carry arbitrage.
- Determine which of the 3 bonds available for delivery is the cheapest-to-deliver.
The money market rate is 0.956% pa.
Appendix 1: Deliverable bonds – Maturity: Mach 2011
Settlement date: March, 10 2011
|Code ISIN ||Coupon |
|Maturity ||Conversion |
|DE0001135390 ||3.25 ||04.01.2020 ||0.815645 |
|DE0001135408 ||3.00 ||04.07.2020 ||0.790231 |
|DE0001135416 ||2.25 ||04.09.2020 ||0.734383 |
Appendix 2: Information on deliverable bonds (On January, 31 2011)
|Code ISIN ||Issue date ||Clean price ||Accrued interest ||YTM |
|DE0001135390 ||13.11.2009 ||101.16 ||0.2582 ||3.099 ||7,637 |
|DE0001135408 ||30.04.2010 ||98.90 ||2.2849 ||3.134 ||7,906 |
|DE0001135416 ||20.08.2010 ||93.07 ||1.0233 ||3.095 ||8,343 |
Re: Theoritical value of a contract
No one to help me on this one ? :/