http://www.wsj.com/mdc/public/page/2_3020-tstrips.html?mod=topnav_2_3020

http://www.wsj.com/mdc/public/page/2_3020-treasury- 20170501.html?mod=mdc_pastcalendar

1. Consider three Treasuries maturing 5/15/17: an 8.75% coupon bond, a 4.5% coupon note and a zero-coupon STRIP (for the purposes of this homework, use the one of 5/15/18).

Now look at the five-days-later prices of the same three securities on January 22nd. If you had followed the strategy of buying the cheaper one and selling the more expensive one on the 17th, and then unwinding the trade on the 22nd (i.e. sell on the 22nd what you bought on the 17th, and buy what you sold), what would your profit/loss have been?