• Unless noted specifically in the question, all cash borrowing and lending rates are quoted per annum with continuous compounding.
• If the bond face value is not given, assume that it is $100.

Consider a bond with ten years to maturity that pays a semi-annual coupon at 6%. The quoted price of this bond on the Bloomberg terminal is currently $1000. The last time that this bond issued a coupon payment was 110 days ago. Assume that there are 360 days per year. What is the current dirty bond price? Ignore the settlement date.

a) $1038.33.

b) $1021.33.

c) $1018.33.

d) None of these.

e) $1011.33.