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 repo? B.
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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Probability For Risk Management
Authors: Matthew J. Hassett, Donald G. Stewart
2nd Edition
156698548X, 978-1566985482
