Hi, here is a question in the Curriculum.

Quoted futures price = 125

Conversion factor = 0.9

Quoted bond price = 112

Accrued interest since last coupon payment = 0.08

Accrued interest at futures contract expiration = 0.20

Time to expiration = 3 months

R = 0.30%

We need to calculate Value.

My calculation is:

Fair price is = (1 + 0.003)^0.25*(112.00 + 0.08) = 112.16

We must deduct 0.20 and divide by 0.9 here = (112.6 - 0.2)/0.9 = 124.4

Value = 125 - 124.4 = 0.60

But answer in curriculum says that we must multuply 125 by 0.9 = 112.5 and add 0.2 = 112.7

Value = 112.7 - 112.16 = 0.54

Is not this a mistake? They teach us that to calculate value we must compare futures values (125), not bond values (112), why do they apply 0.9 to 125 (125*0.9) and not to 112 (112/0.9)?