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 the face value of $100, traded in the market: Maturity and type Coupon rate Price 1-year STRIPS $96.54 2-year T-note 2.21% $98.39 3-year T-note 3.37% $104.25 The coupons are paid in annual installments. Now consider 3-year STRIPS with the face value of $100 and price $93.46. 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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