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Using continuous compounding. Consider a bond with face value $100, it has maturity in four years and pays annual coupons of $12 in arrears. The

Using continuous compounding. Consider a bond with face value $100, it has maturity in four years and pays annual coupons of $12 in arrears. The current value of the bond is $120.

i. Calculate the forward price of the bond in 18 months.

ii. If the yield volatility is 30%. What is the volatility of this forward bond price?

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