What is the Forward Price to purchase a 1.5-year fixed rate Treasury paying 5% semiannually, a year from now? At t = 0 we have the following discounts
T Z(0,T) T Z(0,T)
0.50 0.9680 2.50 0.8445
1.00 0.9360 3.00 0.8175
1.50 0.9040 3.50 0.7924
2.00 0.8730 4.00 0.7691
T Z(0,T) T Z(0,T)
0.50 0.9680 2.50 0.8445
1.00 0.9360 3.00 0.8175
1.50 0.9040 3.50 0.7924
2.00 0.8730 4.00 0.7691
What is the Forward Price to purchase a 1.5-year fixed rate Treasury paying 5% semiannually, a year from now? At t = 0 we have the following discounts
Suppose you have entered into the Forward Contract from the previous exercise, what is the value of the contract 6-months after initiation? Assume that the discount factors are now the ones presented at the beginning of this page.