a dealer does the following buy sell back what is the forward price to six decimal p 600422
A dealer does the following buy/sell-back. What is the forward price (to six decimal places)?
|
Start date: |
18 April 2009 |
|
Maturity date: |
18 July 2009 |
|
Repo rate: |
5.52% |
|
Security: |
€200 million 8% BTAN |
|
Previous coupon date: |
6 June 2008 |
|
Clean price of bond at start: |
103.42 |
|
Haircut: |
2.5% |