A stock index is at 443.35. A futures contract on the index expires in 201 days. The price of the…

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A stock index is at 443.35. A futures contract on the index expires in 201 days. The price of the futures contract is 458.50.The risk-free interest rate is
6.50 percent. The value of the dividends reinvested over the life of the futures is 5.0.

A.Show that the futures contract above is mispriced by computing what the price of this futures contract should be.

A.Find the future value in 15 months of the coupons on this bond.

B. Find the appropriate futures price.

C. Now suppose that the above bond is only one of many deliverable bonds. The contract specification calls for the use of a conversion factor to determine
the price paid for a given deliverable bond. Suppose the bond described here has a conversion factor of 1.0567. Find the appropriate futures price.

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