Question
A 20-year 1000 par value bond pays 4% annual coupons. The bond is priced to yield an annual effective rate of 5%. The continuous compounded
A 20-year 1000 par value bond pays 4% annual coupons. The bond is priced to yield an annual effective rate of 5%. The continuous compounded risk free rate of interest is 4%. Calculate the delivery price of the bond for a three year forward contract with delivery after the third coupon payment.
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Advanced Financial Risk Management Enterprise Wide Risk Management In Theory And Practice
Authors: Donald Van Deventer, Kenji Imai, Mark Mesler
3rd Edition
1547416157, 9781547416158
