Question
16. and 17 ( double-weight ). This is about accrued interest on a bond. A. Does it enter into the haircut (margin) calculation for a
16. and 17 (double-weight). This is about accrued interest on a bond. A. Does it enter into the haircut (margin) calculation for a repo? B. How is accrued interest reflected, if at all, in the quoted price of a bond or note? yield? Explain. C. How is it taken into account when bonds are notes are delivered under a futures contract?
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Problems In Portfolio Theory And The Fundamentals Of Financial Decision Making
Authors: Leonard C Maclean, William T Ziemba
1st Edition
9814749931, 978-9814749930
