Question
There are 1-year STRIPS, 2-year T-notes, and 3-year T-notes, all with the face value of $100, traded in the market: Maturity and type Coupon rate
There are 1-year STRIPS, 2-year T-notes, and 3-year T-notes, all with the face value of $100, traded in the market: Maturity and type Coupon rate Price 1-year STRIPS - $96.64 2-year T-note 2.25% $98.77 3-year T-note 3.4% $104.81 The coupons are paid in annual installments. Now consider 3-year STRIPS with the face value of $100 and price $93.21. Construct an arbitrage trading strategy that pays off $100 today and nothing in the future. Input a negative number if shorting; a positive number if going long. Number of 3-year STRIPs: incorrect Number of 1-year STRIPs: incorrect Number of 2-year T-notes: incorrect Number of 3-year T-notes:
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