Question: There are 1-year STRIPS, 2-year T-notes, and 3-year T-notes, all with the face value of $100, traded in the market: Maturity and type Coupon rate

 There are 1-year STRIPS, 2-year T-notes, and 3-year T-notes, all with

There are 1-year STRIPS, 2-year T-notes, and 3-year T-notes, all with the face value of $100, traded in the market: Maturity and type Coupon rate Price 1-year STRIPS $96.71 2-year T-note 2.19% $98.66 3-year T-note 3.32% $104.13 The coupons are paid in annual installments. Now consider 3-year STRIPS with the face value of $100 and price $93.82. Construct an arbitrage trading strategy that pays off $100 today and nothing in the future. Input a negative number if shorting; a positive number if going long. Number of 3-year STRIPS: Number of 1-year STRIPS: Number of 2-year T-notes: Number of 3-year T-notes: There are 1-year STRIPS, 2-year T-notes, and 3-year T-notes, all with the face value of $100, traded in the market: Maturity and type Coupon rate Price 1-year STRIPS $96.71 2-year T-note 2.19% $98.66 3-year T-note 3.32% $104.13 The coupons are paid in annual installments. Now consider 3-year STRIPS with the face value of $100 and price $93.82. Construct an arbitrage trading strategy that pays off $100 today and nothing in the future. Input a negative number if shorting; a positive number if going long. Number of 3-year STRIPS: Number of 1-year STRIPS: Number of 2-year T-notes: Number of 3-year T-notes

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