Financial Services and Information Technology Lab
What were the bond prices on trade date and settlement date?
Which one would you use to calculate the REPO and why?
What is the accrued interest in dollar amount on settlement date?
What is the duration of the REPO?
What is the market value of your collateral on settlement date?
How much money would the REPO buyer expect to receive on settlement date?
How much interest would the REPO seller expect to receive on termination the date?
What were the bond prices on trade date and settlement date? Which one would you use to calculate the REPO and why?
