12. An investor enters into a forward contract to sell a bond in three months' time at After one month, the bond price is Suppose the term-structure of interest rates is flat at 3% for all maturities.
(a) Assuming no coupons are due on the bond over the next two months, what is the forward price on the bond?
(b) What is the marked-to-market value of the investor's short position?
(c) How would your answers change if the bond will paya coupon of in one month's time?
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