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18 January, 10:31

Suppose that you want to construct a 2-year maturity forward loan commencing in 3 years. The face value of each bond is $1,000. Maturity (Years) Price 1 $ 983.16 2 893.39 3 830.92 4 769.40 5 664.94 a. Suppose that you buy today one 3-year maturity zero-coupon bond. How many 5-year maturity zeros would you have to sell to make your initial cash flow equal to zero?

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  1. 18 January, 10:37
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    =830.92/664.94=1.249616507
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