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v Today is 15 June 2020. A forward contract maturing on 10 January 2021 is written on a bond paying coupon rate 3.00% maturing on

v

Today is 15 June 2020. A forward contract maturing on 10 January 2021 is written on a bond paying coupon rate 3.00% maturing on 19 October 2030, with current price 99.12. The bond pays semi-annual coupons. The OIS curve is flat at 3.10% (with continuous compounding). What is an appropriate price for the forward contract?

		102.20
		99.11
		99.38
		99.18

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