Question: Let T0, T1, . . . , Tn be a sequence of times with Ti+1 = Ti + for a constant > 0. A floating

Let T0, T1, . . . , Tn be a sequence of times with Ti+1 = Ti + for a constant > 0. A floating rate bond with notional 1, start date T0 and maturity Tn pays libor coupons of LTi[Ti,Ti+] at times Ti+1 for i=0,1,...,n1, and notional 1at Tn.

Using a replication argument, find the forward price at t for the floating rate bond (for a forward contract with maturity T) where t < T < T0.

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