问题如下：
Assume that the bond that will be cheapest to deliver in a Treasury bond futures contract pays semi-annual coupons at the rate of 10% per annum on May 1 and November 1 and will be delivered on September 1. The bond's quoted price on August 1 is 130.00 and its conversion factor is 1.2341. Estimate the futures price on August 1 assuming that all interest rates are 4% (continuously compounded).
选项：
解释：
There are 92 days between May 1 and August 1 (30, 30,31, and 1 in May, June, July, and August, respectively) and 184 days between May 1 and November 1 (30, 30, 31, 31, 30, 31, 1 in May, June, July, August, September, October, and November, respectively). The dirty price of the bond is therefore:
130 + 5 X 92/184 = 132.5
No coupons will be paid in the 31-day period between August 1 and September 1. The time to delivery is 31/365 = 0.0849 years. The dirty futures price is therefore:
132.5e0.0849X0.04=132.9509
The accrued interest on September 1 is 5 X 123/184= 3.3423. The clean futures price is therefore:
132.9509 - 3.3423 = 129.6086
Dividing by the conversion factor we obtain the estimated futures price as:
129.6086/1.2341= 105.0227
老师求顺一下逻辑：short 方先前已经short了bond futures，拿到QFP*CF+AIT的钱，现在市场上有个亿CDT130应该是B0，B0+31天的利息得到full price，因为实际是在T时间交割，那么full price滚到sep1 号，得到当天的真实的购买成本，扣掉AIT，乘以1/CF，得到的就是当时（最早的时候）我short 的那个bond future 的clean price。bond future price应该就是最早先前short bond future的那个报价吧？
