The contract is a 270-day forward on a $100 par treasury bond with ten years remaining to maturity. The bond has a 5% coupon rate, has just made a coupon payment, and will make its next two coupon payment in 182 days and in 365 days. It is currently selling for 98.25. The risk free rate is 4%. What is the no arbitrage price for the forward contract on the treasury bond?
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