Verify that the 0.3-year arro-coupon bond in the cash-low mapping example in the appendix to this chapter

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Verify that the 0.3-year arro-coupon bond in the cash-low mapping example in the appendix to this chapter is mapped into a $37,397 position in a 3-month bond and a $11,793 position in a 6-month bond.

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Options Futures And Other Derivatives

ISBN: 9780131499089

6th Edition

Authors: John Hull

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Question Posted: Oct 19, 2024 08:00 AM

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Verify that the 0.3-year arro-coupon bond in the cash-low mapping example in the appendix to this chapter is mapped into a $37,397 position in a 3-month bond and a $11,793 position in a 6-month bond.
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Verify that the 0.3-year arro-coupon bond in the cash-low mapping example in the appendix to this chapter

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