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Math Help - Theoritical value of a contract

  1. #1
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    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...

    Exercise 1
    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:


    1. Determine the theoretical value of the contract.
    2. Determine the implied repo rate.
    3. Determine the result of a cash-and-carry arbitrage.
    4. 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
    Factor
    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
    (%)
    M.Duration
    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
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  2. #2
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    Re: Theoritical value of a contract

    No one to help me on this one ? :/
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