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September 9, 2016 at 7:09 pm #339538
Owais
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Q4
(a)

Yr1 pay $19.39* & rec $14*
Yr2 pay $19.39 & rec $18.4
Yr3 pay $19.39 & rec $21.6
Yr4 pay $19.39 & rec $24.84

* $400~4.847%= $19.39

Need to compute Fra
Yr1 same 3.5% yield = $14
Yr2 $400~4.6%. = $18.4
Yr3 $400~5.4%. = $21.6
Yr4 $400~6.21%. = $24.84
NB: minus 20 basis
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