University of Waterloo MATBUS 471 1. Suppose you purchase $1 million face value of a bond at a full price of 117.63. Assume you finance this trade in the repo markets. (a) Calculate the repo interest over a 7 day loan. Assume a repo rate of 2.5% and a 5% haircut. (Assume actual/360 day count convention) ANS: 543.22 (b) Estimate the change in value (in $) of your bond, s ...[Show More]

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