This morning you agreed to buy a 1-year Treasury bond in 6 months. The bond has a
Question:
This morning you agreed to buy a 1-year Treasury bond in 6 months. The bond has a face value of £100,000. Use the spot interest rates listed here to answer the following questions:
(a) What is the forward price of this contract?
(b) Suppose shortly after you purchased the forward contract, all rates increased by 30 basis points. For example, the 6-month rate increased from 7.42 per cent to 7.72 per cent. What is the price of a forward contract otherwise identical to yours given these changes?
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Therefore the forward price of ...View the full answer
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Related Book For 
Corporate Finance
ISBN: 9780077173630
3rd Edition
Authors: David Hillier, Stephen A. Ross, Randolph W. Westerfield, Bradford D. Jordan, Jeffrey F. Jaffe
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