Question:
Calculate the price of a 250-day forward on a 7% US Treasury Bond (i.e., semiannual) with a full price of $1,050 that has just paid a coupon and will make another coupon payment in 182 days. The annual risk free rate is 6%.
My answer:
FV[$1050 - PV(Coupon)] - Accrued Interest (i.e., since the previous coupon that is 68 days prior to the futures expiration date).
Correct answer:
FV[$1050 - PV(Coupon)]
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Why does the futures price of a bond not consider the accrued interest at futures expiration date as a benefit that must be deducted?