Find the value of the forward contract on the bond

Assignment Help Financial Management

Reference no: EM131054960

A 6% Treasury bond is trading at $1,040 per $1,000 of face value. It will make a coupon payment (i.e., 6%*1000/2=$30) 90 days from now. The yield curve is flat at 5% over the next 120days (to say, risk--free interest will be constant at 5%). Assume that all interest rates are discrete. Also, use 360 day-year convention).

a. Forward price per $1,000 of face value for a 120-day forward contract?

b. After 30 days. The value of the bond is $1,060. Find the value of the forward contract on the bond to the long position.

Reference no: EM131054960

Questions Cloud

Write a paper on gender ethics in the workplace : Write a 20 pages paper on Gender Ethics in the Workplace. APA 6th ed. New Times Roman 12 Font. Cover page, the abstract being the first page and reference page is not a page 20 complete pages 1inch margins.

The market value of current assets and fixed assets : Muffin’s Masonry, Inc.’s, balance sheet lists net fixed assets as $18.00 million. The fixed assets could currently be sold for $27.00 million. Muffin’s current balance sheet shows current liabilities of $7.50 million and net working capital of $6.50 ..

View that employees are of value : Underlying the theory and practice of HRM is the view that employees are of value. Explain, with reference to your learning this semester, why is this a key tenet of HRM. You may use the readings and examples from lectures to support your response..

How many firms would be in the market at equilibrium : How many firms would be in the market at equilibrium in which every firm's economic profits are zero?

Find the value of the forward contract on the bond : A 6% Treasury bond is trading at $1,040 per $1,000 of face value. It will make a coupon payment. Forward price per $1,000 of face value for a 120-day forward contract? After 30 days. The value of the bond is $1,060. Find the value of the forward cont..

Describe some trade-offs that are encountered in products : Describe some of the trade-offs that are encountered in product and service design. Who needs to be involved in the design of products and services

Handbook for the medical office : Read chapters 1 and 2 of your "Insurance Handbook for the Medical Office" textbook. Use your knowledge of this week's "Insurance Handbook for the Medical Office" lesson to answer the following questions.

Develop learning objectives about use of bloom taxonomy : From the e-Activity, assume that you are a veteran teacher and have been asked to present a brief presentation at the next in-service training in Bloom's Taxonomy and its application in the classroom. For the presentation to your fellow teachers,..

How did it affect the banks that lent the money : how did it affect the banks that lent the money?

User Account

All Pages