Compute the price of a 15-month forward on a coupon bond worth $1,000 that pays a 5.6%

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Compute the price of a 15-month forward on a coupon bond worth $1,000 that pays a 5.6% coupon semi-annually. The next coupon is to be paid in four months. Assume the risk-free rate is 3.5%.

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Posted Date: Mar 24, 2023 02:55 AM

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Compute the price of a 15-month forward on a coupon bond worth $1,000 that pays a 5.6%

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ANSWER To calculate the price of a 15month forward on a coupon bond we need to discount the future c... View the full answer

Derivatives Markets

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