Question: Today is 08 June 2021. A forward contract maturing on 10 February 2022 is written on a bond paying coupon rate 1.50% maturing on 08

Today is 08 June 2021. A forward contract maturing on 10 February 2022 is written on a bond paying coupon rate 1.50% maturing on 08 November 2031, with current clean price 86.67. The bond pays semi-annual coupons. The OIS curve is flat at 3.00% (with continuous compounding). What is an appropriate price for the forward contract?

. options are 87.69 86.28 87.43 88.94

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