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  3. assume there is a coupon bond with a spot price of

Assume there is a coupon bond with a spot price of 1020. Assume the bond...

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Finance

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Assume there is a coupon bond with a spot price of 1020. Assume the bond pays annual coupons of 60 with the next coupon to be paid in one year. Let the risk- free rate = 8%. Calculate the delivery price Fo,t for a one year forward contract on the bond with delivery immediately after the coupon payment is made. After 6 months, the bond price has increased to 1050. Calculate the value of the long position in the forward contract at t=0.5

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