Consider a Forward Contract to Buy a Ten-Year Bond in One

question 79

Multiple Choice

Consider a forward contract to buy a ten-year bond in one year; currently the eleven-year bond has a coupon rate of 7%,paid semi-annually with a price of $1,060.The current and effective risk-free rate of interest is 5%.What is the fair forward price?

• A) $1,113.05
• B) $1,042.14
• C) $1,043.05
• D) $1,009.52

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