p********0 发帖数: 186 | 1 Hi,
Assume 10 year bond paid annually price 950. Semi-annual coupon is 60
Know 0.5, 1 year yield rate,
What's the value of 1 year forward contract $970.
1) Present Value of $970 using 1 year rate.
2) PResent value of the remaining cash flow 950- 60*(discount(0.5)+discount(
1))
then 1 - 2 is the forward contract value.
Is this correct? | c******n 发帖数: 49 | 2 $970指的是delivery price?
如果是, 我觉得应该是2-1
discount(
【在 p********0 的大作中提到】 : Hi, : Assume 10 year bond paid annually price 950. Semi-annual coupon is 60 : Know 0.5, 1 year yield rate, : What's the value of 1 year forward contract $970. : 1) Present Value of $970 using 1 year rate. : 2) PResent value of the remaining cash flow 950- 60*(discount(0.5)+discount( : 1)) : then 1 - 2 is the forward contract value. : Is this correct?
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