题目内容

The most recent settlement bond futures price is 103.5. Which of the following four bonds is cheapest to deliver?

A. Quoted bond price = 110; conversion factor = 1.0400.
B. Quoted bond price = 160; conversion factor = 1.5200.
C. Quoted bond price = 131; conversion factor = 1.2500.
D. Quoted bond price = 143; conversion factor = 1.3500.

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A trader enters into a long position in one Eurodollar futures contract. How much does the trader gain when the futures price quote increases by 6 basis points?

A. $6
B. $150
C. $60
D. $600

The bonds that can be delivered in a Treasury bond futures contract are

Assets that provide no income
B. Assets that provide a known cash income
C. Assets that provide a known yield
D. None of the above

How much is a basis point?

A. 1.0%
B. 0.1%
C. 0.01%
D. 0.001%

Which of the following day count conventions applies to a US Treasury bond?

Actual/360
B. Actual/Actual (in period)
C. 30/360
D. Actual/365

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