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The yield curve is inverted and the effective annual 1 year repo rate is 6%. What is the fair price of a one year futures/forward
The yield curve is inverted and the effective annual 1 year repo rate is 6%. What is the fair price of a one year futures/forward contract to sell a $200,000 par value 5 year 6% annual coupon bond that has an effective annual YTM of 4%? (Hint: you need to calculate the current market price of this bond.)
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