What should the forward price be

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Consider a 18-month forward contract on a coupon-bearing bond whose current price is $950. Assume the next coupon payment of $75 is in 3 months and every 6 months thereafter. For simplicity assume the risk-free rate of interest is 6% per annum with continuous compound for all horizons. What should the forward price be? Assume conversion factor is 1, i.e. future is for this specific bond only.

Reference no: EM131835287

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