Relating to the last question, anyone know why there is no accrued interest factored into the equation? (for the two months between the coupon payment and the futures expiration date)
Theoretically, yes there should be 3500*(2/12) in accrued interest. However, the question states that there is no accrued interest.
right, i assumed that meant no accrued interest in the bond at time 0 but i guess obviously not…
I have the same issue here. With 8 months to maturity and a semi-annual coupon there either needs to be (a) accrued interest at time 0 or (b) accrued interest at maturity.
Hopefully the real exam will be more clear.