You are in the USA. Todays date is 20 July 2020. A forward contract, maturing on 1 March 2021, has as underlying security a 5%
You are in the USA. Todays date is 20 July 2020. A forward contract, maturing on 1 March 2021, has as underlying security a 5% coupon bond (paying semi-annual coupons) maturing on 15 May 2025. The underlying bonds current price is 124-7+. The OIS curve is currently flat at 1%, with continuous compounding.
(a) What is the current dirty price of the bond, including accrued interest?
(b) What are the cash flows for the underlying bond between now and the forward contracts maturity?
(c) What is the dirty forward price?
(d) What is the clean forward price?
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Authors: Chris Brooks
4th Edition
110843682X, 9781108436823
