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Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
168 Derivatives and Risk Management
maturity of the bond will be 9 years, which is an exact multiple of six months. In this case, the rst coupon
will be assumed to be paid aer 6 months, or on December 31, 2010. By using the above revised maturity,
the value of the bond will be calculated. e conversion factor will then be calculated as the value of the
bond divided by the face value of the bond.
E X A M P L E 8 . 1
Assume that you are calculating the conversion factor on October 1, 2009, for a futures contract with
expiry in March 2010. e bond has a coupon of 6.9% and the maturity date of July 13, 2019. When
rounded to six months, the ...
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Publisher Resources

ISBN: 9781299447547Publisher Website