Question: Consider a six-month forward contract on a bond. Suppose the current spot price S of the bond is $95 and that the bond will pay

Consider a six-month forward contract on a bond. Suppose the current spot price S of the bond is $95 and that the bond will pay a coupon of $5 in three months time. Finally, suppose the rate of interest is 10% for all maturities. What is the arbitrage-free forward price of the bond?

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