forward rate 100 2.375% 16. Under the following upward-sloping forward rate curve (i.e., 0.20%, 0.50%, 0.80%, where = term structure plus spread), a 23/8s bond with 1.5 years to maturity has a price D. d. Under as assumption of unchanged yields, the price of the bond in six months will be of $102.80 as of 5/31/2013 settlement: Par: Coupon, pay s.a. Settlement on 5/31/2013, with maturity of 1.5 years 11/30/2013 5/31/2014 11/30/2014 Price Forward rates 0.200% 0.500% 0.800% $102.80 Term structure 0.100% 0.400% 0.700% Spread 0.100% 0.100% 0.100% If we want to estimate the bond's price in six months, as of 11/30/2103, we can assume either an unchanged term structure, realized forwards, or unchanged yield. About the bond's price in six months, each of the following statements is true EXCEPT for which is false? A. a. In six months, the bond price will be greater under an assumption of unchanged term structure than an assumption of realized forwards B. b. Over the next six months, the carry-roll-down, excluding coupon, is positive under either an assumption of unchanged term structure or realized forwards c. c. Under as assumption of unchanged yields, the one-period gross return over the next six months will be approximately 0.50% with semi-annual compounding $101.87