10 Year Treasury Bond

[xxreebeexx]

Hi, another question for you people in regards to my uni assignment, been given the task to pretend we're buying all sorts of futures contracts and work out the price, one in particular is a 10 year treasury bond futures contract, now Ive got everything but the coupon rate and face value, I know that the formula has to be per half year, is the face value of these contracts always $100,000 and is the coupon rate 6% per annum? (so 3% per half year making the coupon $3,000)

Many thanks
R

 

[Richard Dale]

Hi, another question for you people in regards to my uni assignment, been given the task to pretend we're buying all sorts of futures contracts and work out the price, one in particular is a 10 year treasury bond futures contract, now Ive got everything but the coupon rate and face value, I know that the formula has to be per half year, is the face value of these contracts always $100,000 and is the coupon rate 6% per annum? (so 3% per half year making the coupon $3,000)

Many thanks
R

Are you holding the futures contract to delivery, or will you be selling before expiry?
ie it might be a trick question.

If you sell before expiry, all you have to pony up is the maintenance margin and loss (if any) when you sell.

http://www.sfe.com.au/content/prices/rtp15sfXT.html

Pricing convention here:
http://www.sfe.com.au/content/sfe/products/pricing.pdf

There's a pricing formula that covers the 10 Year Bond contract.