Question 1 - (25 points) (a) Consider a 2-year forward contract to buy a coupon-bearing bond that will mature 2 year from today. The current price of the bond is $102. Sup- pose that on that bond 4 coupon payments of $6 are expected after 6 months, 12 months, 18 months and 24-months. We assume that the 6-month, 12- month, 18-month and 24-month risk-free interest rates (continuously com- pounded) are, respectively, 1%, 1.3%, 1.6% and 1.9% per annum. Determine the strike price, the forward price and the value of the forward contract. (b) 15 months later, the price of the bond is $105 and the risk-free interest rates for maturities 3-month, 9-month, are, respectively, 0.6% and 0.9% per annum. What are the strike price, the forward price and the value of the forward contract? Question 1 - (25 points) (a) Consider a 2-year forward contract to buy a coupon-bearing bond that will mature 2 year from today. The current price of the bond is $102. Sup- pose that on that bond 4 coupon payments of $6 are expected after 6 months, 12 months, 18 months and 24-months. We assume that the 6-month, 12- month, 18-month and 24-month risk-free interest rates (continuously com- pounded) are, respectively, 1%, 1.3%, 1.6% and 1.9% per annum. Determine the strike price, the forward price and the value of the forward contract. (b) 15 months later, the price of the bond is $105 and the risk-free interest rates for maturities 3-month, 9-month, are, respectively, 0.6% and 0.9% per annum. What are the strike price, the forward price and the value of the forward contract