12. An investor enters into a forward contract to sell a bond in three months' time at...

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?