You are in the USA. Today’s date is 20 July 2020. A forward contract, maturing on 1 March 2021, has as underlying security a 5% coupon bond (paying semi-annual coupons) maturing on 15 May 2025. The underlying bond’s current price is 124-7+. The OIS curve is currently flat at 1%, with continuous compounding.

(a) What is the current dirty price of the bond, including accrued interest?

(b) What are the cash flows for the underlying bond between now and the forward contract’s maturity?

(c) What is the dirty forward price?

(d) What is the clean forward price?