FRM EXAM 2009—QUESTION 3-11
The yield curve is upward sloping. You have a short T-bond futures position.
The following bonds are eligible for delivery:
Bond A B C
Spot price 102-14/32 106-19/32 98-12/32
Coupon 4% 5% 3%
Conversion factor 0.98 1.03 0.952
The futures price is 103-17/32 and the maturity date of the contract is
September 1. The bonds pay their coupon semiannually on June 30 and
December 31. The cheapest to deliver bond is?

解答说  (102 + 14/32)/0.98  不应该是 CF X Futures Quote?