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Is my attempt correct? 3. ( 8 points) Current spot rate curve is given in the table below. Assume annual compounding. Keep at least 4
Is my attempt correct? 3. ( 8 points) Current spot rate curve is given in the table below. Assume annual compounding. Keep at least 4 decimal points in your calculation. A 4-year bond with 5% coupon rate pays coupon annually. Face value is 1000 . An investor takes a long position in the 2-year forward contract on this bond. One year later, suppose the spot rate curve stays the same, what is the market value of the long forward position? =2%=4.008%=6.02922%=8.0581%1060282250+(1.080581)(1.0602922)1050=963.6018 One year later 1.04007850+(1.0602322)(1.07005i)1050=10001078333.MarketValne=1.0210001078533.963.6018=35.8684
Is my attempt correct?
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