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0

Just look at meeting date OIS. There should be broker screens and dealer runs for these for liquid markets.


2

The first method is how you actually calculate the forward price of a specific bond. You need to use the repo rate for that bond as the financing rate inside the calculation. The second method is a quick way of estimating bond forward yields, but it is not something you can execute in practice. For example, if you try to lock in the yield , 5yrs from today,...


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I think that the formula of $F(t,T_a,T_b)$ is misleading. The ratio $P(t,T_b)/P(t,T_a)$ should be $P(t,T_a)/P(t,T_b)$ instead.


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