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
Correct Answer:
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