Question: Consider 6.00% coupon, 10-year U.S. Treasury note that matures on August 15, 2017. Calculate the accrued interest for a $1 million par value position assuming

Consider 6.00% coupon, 10-year U.S. Treasury note that matures on August 15, 2017. Calculate the accrued interest for a $1 million par value position assuming a settlement date of October 16, 2007. Assume that interest starts accruing on August 15, 2007. (There are 122 days from the settlement date to the next coupon date and 184 days in the entire coupon period.)

$19,892

$15,747

$10,109

$8,003

Use the following information for the below questions.

Maturity Coupon Price
6 months 5.5% 101.3423
1 year 14.0% 102.1013
2 year 8.5% 99.8740

1. The closest to the discount factor for 6 month is . (Note: Round to the nearest hundredths.)

2. The closest to the discount factor for 1 year is . (Note: Round to the nearest hundredths.)

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