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Consider the prices in the following three Treasury issues as of February 24, 2010: 6.5 May 14n 106:10 106:12 -13 5.28 8.9 May 14 99:13
Consider the prices in the following three Treasury issues as of February 24, 2010: 6.5 May 14n 106:10 106:12 -13 5.28 8.9 May 14 99:13 99:17 - 3 5.24 12 May 14 134:25 134:31 -15 5.32 The bond in the middle is callable in February 2011. The implied value of the call feature assuming a par value of $1,000 is $______________ . Round answer to the nearest 2 decimal places. (Hint: Is there a way to combine the two noncallable issues to create an issue that has the same coupon as the callable bond?)
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