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3. Suppose you observe the following bond quotes on January 1, 2024. The bonds were issued on January 1, 2024, make their first coupon payments
| 3. Suppose you observe the following bond quotes on January 1, 2024. The bonds were issued on January 1, 2024, make their first coupon payments on July 1, 2024, and have face values of $1,000. | |||||||||
| Bond | Maturity | Coupon | Bid | Ask | Change | Asked Yield | |||
| J | 1/1/2025 | 3.0000 | 84.0000 | 85.0000 | -0.0050 | 20.323 | |||
| K | 1/1/2025 | 4.5000 | 86.0000 | 87.0000 | -0.0050 | 19.423 | |||
| L | 1/1/2025 | 5.0000 | 88.0000 | 89.0000 | -0.0050 | 17.461 | |||
| 3a. What is the arbitrage-free ask price of Bond L? (10 points) | |||||||||
| 3b. What is the arbitrage-free bid price of Bond L? (10 points) | |||||||||
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Financial Management
Authors: Rajiv Srivastava, Anil Misra
2nd Edition
0198072074, 9780198072072
