Question
An Australian Commonwealth Government Security (CGS) has a maturity date of 15 March 2023. The CGS is paying a coupon of 6% and is priced
An Australian Commonwealth Government Security (CGS) has a maturity date of 15 March 2023. The CGS is paying a coupon of 6% and is priced at a yield of 4%. The CGS pays coupons semi-annually on the 15th of the relevant coupon payment month. The settlement date of the trade in this bond is 24 June 2021. There is a zero coupon bond with exactly two years until maturity (i.e. the maturity date is 24 June 2023). The zero coupon bond has a yield to maturity of 4%. The yield curve is flat at 4% per annum. Please use semi-annual compounding when answer the following questions.
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