ssume today is March 26th. A Treasury bond is trading at a quoted price of 94 10/32. The Treasury bond has a 7% coupon payable on June 1st and December 1st. Short term interest rates as of March 26th are 2.9% for 3 months or less and 4.8% for more than 3 months based on continuous compounding. Determine the forward cash price of the bond for August 1, 2018.
ssume today is March 26th. A Treasury bond is trading at a quoted price of 94 10/32. The Treasury bond has a 7% coupon payable on June 1st and December 1st. Short term interest rates as of March 26th are 2.9% for 3 months or less and 4.8% for more than 3 months based on continuous compounding. Determine the forward cash price of the bond for August 1, 2018.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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- Assume today is March 26th. A Treasury bond is trading at a quoted price of 94 10/32. The Treasury bond has a 7% coupon payable on June 1st and December 1st. Short term interest rates as of March 26th are 2.9% for 3 months or less and 4.8% for more than 3 months based on continuous compounding. Determine the forward cash price of the bond for August 1, 2018.
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