Today is January 1. Forward prices for contracts maturing on April 1 and on October 1 are
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Today is January 1. Forward prices for contracts maturing on April 1 and on October 1 are $103 and $109, respectively. On April 1, the price of a zero-coupon bond maturing on October 1 is $0.97. Assuming that the underlying interest rate is a constant interest rate, demonstrate one way of making arbitrage profits from these prices.
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Today is January 1 time zero The time to maturity for the near maturity forward is n 312 025 year an...View the full answer
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Related Book For 
An Introduction to Derivative Securities Financial Markets and Risk Management
ISBN: 978-0393913071
1st edition
Authors: Robert A. Jarrow, Arkadev Chatterjee
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