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CFA Level 2
Derivatives

Forward Price Calculation for Fixed Income Bond

Very Easy Forward Pricing And Valuation Fixed Income Forwards

In the context of forward pricing of fixed income securities, consider a 1-year forward contract on a bond that is expected to pay a coupon of $50 at the end of the year and has a spot price of $900. The risk-free rate is 5%. What will be the forward price of the bond under these conditions?

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