Question: Hello, I need some help with this question bond pricing. Consider the following bonds currently trading in the City of London. All bonds are U.K.

Hello, I need some help with this question bond pricing.

Consider the following bonds currently trading in the City of London. All bonds are U.K. default-free government bonds and have a par value of f100: Price Bond Type Bond A 101.017 5-year, 6% annual coupon bond Bond B 98.039 1-year zero coupon bond Bond C 109.781 5-year, 8% annual coupon bond Bond D 66.634 6-year zero coupon bond Bond E 58.349 7-year zero coupon bond Bond F 6-year, 5% annual coupon bond What is the replicating portfolio and no arbitrage price for Bond F? [5 marks]

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