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Estimate the implied repo rate of 8.5% of 2/15/20 with a settlement on 7/14/01, delivery...

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Accounting

Estimate the implied repo rate of 8.5% of 2/15/20 with a settlement on 7/14/01, delivery on 9/30/01, conversion factor of 1.2748, a futures price of 91, and a quoted bond price of 116.50. Assume that coupons are paid semiannually.

Please show all the calculation (for example AC,IC,GP)

No excel. Would like to know how to find coupon date from settlement day, maturity and frequency

Answer & Explanation Solved by verified expert
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