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Consider the following information: Bond Face value Coupon rate Coupon payments Maturity (months) Price STRIP $100 - - 6 $97 STRIP $100 - - 12
Consider the following information:
|
Bond | Face value | Coupon rate | Coupon payments | Maturity (months) |
Price |
| STRIP | $100 | - | - | 6 | $97 |
| STRIP | $100 | - | - | 12 | ? |
| Treasury Note | $100 | 6% | Semiannual | 12 | $101 |
Note: The coupon rate is an annualized rate that was annualized by multiplying the semiannual rate by two.
Suppose that the Law of One Price holds. Find the price of the 12-month STRIP (with a face value of $100). Please round your answer to the nearest cent (e.g., $123.45).
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