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Fixed Income Securities, 4th Edition
book

Fixed Income Securities, 4th Edition

by Bruce Tuckman, Angel Serrat
September 2022
Beginner content levelBeginner
560 pages
17h 36m
English
Wiley
Content preview from Fixed Income Securities, 4th Edition

APPENDIX TO CHAPTER 11Note and Bond Futures

A11.1 FORWARD DROP APPROXIMATELY EQUALS CASH CARRY

Define the following notation, all for 100 face amount of a bond:

  • p 0: flat price for spot settlement
  • c: annual coupon payment
  • d 1: number of days from spot settlement to the coupon payment date
  • d 2: number of days from the coupon payment date to forward settlement
  • d equals d 1 plus d 2: number of days from spot to forward settlement
  • upper A upper I 0 comma upper A upper I Subscript d Baseline: accrued interest as of spot and forward settlements, respectively
  • r: repo rate from spot to forward settlement
  • p 0 left-parenthesis d right-parenthesis: flat price for forward settlement

With this notation, the forward price of the bond, based on the discussion in the text, can be written as,

Equation (A11.2) follows ...

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ISBN: 9781119835554Purchase Link