Question: Consider a long forward contract to purchase a coupon - bearing bond whose current price is $ 9 0 0 . We will suppose that

Consider a long forward contract to purchase a coupon-bearing bond whose current price is $900. We will suppose that the forward contract matures in 9 months. We will also suppose that a coupon payment of $40 is expected after 4 months. We assume that the 4-month and 9-month risk-free interest rates (continuously compounded) are, respectively, 3% and 4% per annum. Suppose first that the forward price is relatively high at $910.
Consider a long forward contract to purchase a

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