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As in the previous question, consider a US Treasury bond (face value $1000) that matures on 7/15/2022, with a 4% coupon paid semiannually, with the
As in the previous question, consider a US Treasury bond (face value $1000) that matures on 7/15/2022, with a 4% coupon paid semiannually, with the next payment due on 7/15/2021. Current zero coupon rates (continuously compounded) are 1% at 3 months, 1.25% at 9 months, 1.5% at 15 months. On 4/15/2021, what should be the cash market price (i.e., including accrued interest)? Remember, Treasury bonds use the actual/actual convention.
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