Mathematical Models
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A defaultfree coupon bond maturing in 6 months, that pays a coupon of 2.00 after 3 months and makes a final payment of 102.00 (the last coupon and the principal), trades at 101.00 today. Moreover, a 6month defaultfree zerocoupon bond is traded at 97.1, and pays 100.00 at maturity.
Enter the price of the 3month defaultfree zerocoupon bond that pays 100 at maturity, such that there are no arbitrage opportunities:
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A defaultfree coupon bond maturing in 6 months, that pays a coupon of 2.00 after 3 months and makes a final payment of 102.00 (the last coupon and the principal), trades at 101.00 today. Moreover, a 3month defaultfree zerocoupon …