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1-Consider a US Treasury bond (face value $1000) that matures on 7/15/2022, with a 4% coupon paid semiannually, with the next payment due on 7/15/2021.
1-Consider a US Treasury bond (face value $1000) that matures on 7/15/2022, with a 4% coupon paid semiannually, with the next payment due on 7/15/2021. Current zero coupon rates (continuously compounded) are 1% at 3 months, 1.25% at 9 months, 1.5% at 15 months. On 4/15/2021, what should be the clean market price (i.e., without accrued interest)?
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