4. A dealer wants to borrow $10 million using a bond repo but due to certain market...

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4. A dealer wants to borrow $10 million using a bond repo but due to certain market restriction he cannot repo out the bond for 2 months.

a. Suggest a strategy so that he can borrow the cash for the period without losing the permanent ownership of the bond.

b. Calculate the forward price of bond trading at $43.59 if the current repo rate is 4% p.a?

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Principles Of Financial Engineering

ISBN: 9780123869685

3rd Edition

Authors: Robert Kosowski, Salih N. Neftci

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Question Posted: Oct 26, 2024 04:01 AM

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4. A dealer wants to borrow $10 million using a bond repo but due to certain market...

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Principles Of Financial Engineering

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