Question
A three-year, 4 percent coupon yen-US dollar dual currency bond pays US$840 at maturity per100,000 of face value. The yield to maturity (YTM) on the
A three-year, 4 percent coupon yen-US dollar dual currency bond pays US$840
at maturity per100,000 of face value. The yield to maturity (YTM) on the bond is 5%.
The three-year forward rate is125.00/US$.What is the current price of the bond in
(approximately ) (assume market equilibrium)(Interest payments are made in Yens () annually and the principal is paid in US$ at maturity)(Assume that the investor uses the forward market)
101,596
104,445
105,000
97,277
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Introduces Quantitative Finance
Authors: Paul Wilmott
2nd edition
470319585, 470319581, 978-0470319581
