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4, (10 points) Consider the following three bonds (settlement: 2/ 15/94). Coupon Rate Maturity Price 7 8/15/94 101 :20 6 _ 8 5 1 2/15/95
4, (10 points) Consider the following three bonds (settlement: 2/ 15/94). Coupon Rate Maturity Price 7 8/15/94 101 :20 6 _ 8 5 1 2/15/95 101 : 18 2 7E 2/15/95 103:24 4 Construct a portfolio of the 6g and the 7 3 bonds which replicates the cash ows of the 5 % bond. Please compare the price of the replicating portfolio to the price of the Sibond. If there is an arbitrage opportunity, please state your trading strategy
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Financial Management for Public, Health and Not-for-Profit Organizations
Authors: Steven A. Finkler, Daniel L. Smith, Thad D. Calabrese, Robert M. Purtell
5th edition
1506326846, 9781506326863, 1506326862, 978-1506326849
