Interest rate futures 1. You are in the USA. Today's date is 1 August 2019. A forward contract, maturing on 1 February 2020, has as underlying security a 4% coupon bond (paying semi-annual coupons maturing on 15 October 2021. The underlying bond's current price is 102.3125 The repo curve is currently flat at 3%, with continuous compounding. (a) What is the current dirty price of the bond, including accrued interest? (b) What are the cash flows for the underlying bond between now and the futures contract's maturity? (c) What is the dirty forward price? (d) What is the clean forward price? 2. What is the modified duration of a three year bond, paying 4% (p.a.) semi-annual coupons, and a semi-annually compounded) yield of 5%? Interest rate futures 1. You are in the USA. Today's date is 1 August 2019. A forward contract, maturing on 1 February 2020, has as underlying security a 4% coupon bond (paying semi-annual coupons maturing on 15 October 2021. The underlying bond's current price is 102.3125 The repo curve is currently flat at 3%, with continuous compounding. (a) What is the current dirty price of the bond, including accrued interest? (b) What are the cash flows for the underlying bond between now and the futures contract's maturity? (c) What is the dirty forward price? (d) What is the clean forward price? 2. What is the modified duration of a three year bond, paying 4% (p.a.) semi-annual coupons, and a semi-annually compounded) yield of 5%