I understand from the forum that there are many errors in the TT, especially Derivatives. So I am wondering if my understanding is wrong or the TT is a mistake. I desperately need your guidance on this.
The problem is asking for quoted bond futures price. In the problem set, it mentions that there are NO accrued interest up to now but the bond to deliver is yielding at 2.5%. So I assumed that the ‘Full Price’ would be $156,000 while there will be some amount to be deducted as a accrued interest at maturity from the futures price according to the formula; Full Price x (1 + Rf)^T - _ Accrued interest at T _ - Future value of Coupon at T.
But the answer did not deduct any Accured interest at T. It just simply mentions that there are no accured interest. Isn’t the 2.5% yield supposed to be deducted?
Thanks for your help in advance!!