Question: To receive full points, please show all your work, including the timeline, formulas, and calculator keystrokes (if used any). Circle or highlight the answer. Q1.

To receive full points, please show all your work, including the timeline, formulas, and calculator keystrokes (if used any). Circle or highlight the answer.

Q1. There is a 9-month forward contract on a bond, whose current spot price is $1206. It will pays quarterly coupons with the coupon rate being 8% . The next coupon is due exactly in 3 months. Assuming the annually compounded interest rate of 3%, what is the arb-free forward price of the bond? (Note: coupon rate = annual coupon / face value of 1000).

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