Suppose that a U.S. Treasury note maturing August 15, 2009 is purchased with a settlement date of

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Suppose that a U.S. Treasury note maturing August 15, 2009 is purchased with a settlement date of July 31, 2007. The coupon rate is 3% and the maturity value of the position is $1,000,000. The next coupon date is August 15, 2007.

a. What is the full (dirty) price of this bond given the required yield is 4.591%? (Note there are 181 days in the coupon period and there are 15 days between the settlement date and the next coupon date.)

b. What is the accrued interest? (Note there are 166 days between the last coupon date and the settlement date.)

c. What is the flat (clean) price?

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