What is the forward price that goldman should quote

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Reference no: EM132178145

Question - On 8/31/2007, the thirty-year T-bond with a coupon of 5.00%, and maturing on 5/15/2037 was quoted at a clean price of 102.50. The general collateral repo rate for a term of one month was 4.775%. Goldman Sachs receives an order from a client to buy this bond forward in one month's time. What is the forward price that Goldman should quote? Why? How should Goldman hedge itself assuming that the deal is done on August 31, 2007?

Reference no: EM132178145

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