Suppose that a U.S. Treasury note maturing February 15, 2009 is purchased with a settlement date of February 7, 2007. The coupon rate is 4.5% and the maturity value of the position is $1,000,000. The next coupon date is February 15, 2007.
a. What is the full price of this bond given the required yield is 4.877%? (Note there are 184 days in the coupon period and there are 8 days between the settlement date and the next coupon date.)
b. What is the accrued interest? (Note there are 176 days between the last coupon date and the settlement date.)
c. What is the clean or flat price?