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You can calculate Future Value with Matlab as follow FutureVal = fvdisc(Settle, Maturity, Price, Discount, Basis) Settle: Settlement date. Maturity: Exercise date. Price: present value of the security. Discount: Bank discount rate of the security. Basis: Day-count basis of the instrument(actual/360) For example, Settle = '03/15/2015'; Maturity = ...


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The time $0$ forward rate from tme $n-1$ to time $n$ is \begin{equation} 1 + i_0(n-1, n) = \dfrac{(1 + s_0(n))^n}{(1+s_0(n-1))^{n-1}} \end{equation} where $s_0(n)$ is the $n$-year spot rate and $i_0(n-1, n)$ is the time $0$ forward rate from time $n-1$ to time $n$. The term structure of interest rates must be increasing to avoid arbitrage opportunities. ...


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In a case like this, where the settlement date is in the middle of the coupon period, it is not right to use PV = -110 (minus the purchase price) in Step 3. Instead you should increase the purchase price by the accrued interest, which is a fraction of the coupon based on how far the settlement date is within the current coupon period. (So for ex if you are ...



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