Q6. Consider the data in question Q3. below. a) What is the forward price today for delivering at date t2 = 6m a zcb with face value $100,000 maturing at t4 = 1y? b) What is the forward price for delivering the bond in Q3.b) at t2 = 6m (per $100 face value)? [It suffices to report the dirty price.] c) Suppose that you have such a forward position (acquired earlier) with a delivery price of K = $101.125 for $24.325M face value. What is the value of your forward position? d) [Bonus question.] What is the dollar duration of this position? This quantity captures, to the first order, the dollar change induced by the entire yield curve shifting down by 1. [Hint: Think of all the cash flows the forward position confers until the maturity of the bond, t7 = 21m. The forward position is a "portfolio" of all these cashflows.]

Q3. Consider the discount factors for the following eight dates Date 3m 6m 9m 1y 15m 18m 21m 2y Price 0.9908 0.9809 0.9702 0.9589 0.9470 0.9346 0.9217 0.9085