avalonr2003
avalonr2003
12.03.2020 • 
Business

A 2.25% coupon US Treasury, bond maturing on 15 Feb 2021, has a YTM of 1.55%. You wish to buy this bond to with a settlement date of 14 Feb 2020. What would be the price of is priced for settlementon 18 June 2015 at a yield (YTM) of 6%. (Hint: based on an actual/actual day-count convention there are 184 days between the last coupon payment date and the next coupon payment date, and 183 days between the last coupon date and the settlement date.) a. What is the full price of this bond? b. What is the accrued interest (AI) owed to the seller of the bond on the settlement date? C. What is the clean price of the bond on settlement date?

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