5. You are in the USA. Todays date is 9 July 2022. A forward contract, maturing on 20 February 2023, has as underlying security a 3% coupon bond (paying semi-annual coupons) maturing on 15 May 2027. The underlying bonds current price is 125-11. The OIS curve is currently flat at 2.5%, with continuous compounding. Hint: see section 6.2 for bond quotes.

(a) What is the current dirty price of the bond, including accrued interest?

(b) What are the cash flows for the underlying bond between now and the forward contracts maturity?

(c) What is the dirty forward price?