Question
A trader takes a short position in a one year forward contract on a 31-year Treasury Bond. The Treasury Bond to be delivered in 1-year
A trader takes a short position in a one year forward contract on a 31-year Treasury Bond. The Treasury Bond to be delivered in 1-year is assumed to have an 8% coupon rate and a par value of 100. Using a flat term structure with continuously compounded annual return of 6%. Construct a strategy from which an investor can earn a riskless profit. Assume the 1-year forward price on the bond is $125
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Intermediate Accounting 2014 FASB Update
Authors: Donald E. Kieso, Jerry J. Weygandt, Terry D. Warfield
15th edition
978-1118938782, 111893878X, 978-1118985311, 1118985311, 978-1118562185, 1118562186, 978-1118147290
