Forward Price

S0 F0 $ - F0=S0*(1+r)^T
r
T

Forward Price: Continuous compounding interest no dividends, no income

S0 $ 45.00 F0 47.30719934 F0=S0*e^rT

e 2.718281828
r 10%
T 0.5

Forward Price: Known Income dividends, income

S0 F0 0 F0=(S0-I)e^rT
e 2.718281828
I Income
r
T

Forward Price: Known Yield

S0 $ 7,215.32 F0 7030.1434 F0=S0*[e^(r-q)T]

e 2.718281828
q 2.45% Average yield
r 1.15%
T 2

Pricing Derivatives from Physical

ST $ 75.89 Spot price

r cc 3.18550% Continuously compound rate of return
r div 0.000% Dividend yield
r cost 1.001% Custody costs
T 0.033333333
e 2.718281828 Kt 75.9960 Kt=ST*[e^(rcc-rdiv+rcost)T]
Kt: derivative price
Pricing Derivatives from Physical

ST $ 7,364.902 Spot price

r eff 3.2516% Effective rate of return
r div 3.530% Dividend yield
r cost 1.730% Custody costs
T 0.265753425
e 2.718281828 Kt 7393.1633 Kt=ST*((1+reff-rdiv+rcost)^T)
Kt: derivative price
 Valuing Forward Contract: Long

F0 $ 47.31 f 2.948811 f=(F0-K)*(e^-rT)

K 44.21
r 10%
T 0.5
nds, no income e 2.718282

Valuing Forward Contract: Short

F0 f 0 f=(K-F0)*(e^-rT)
K
r
T
e 2.718282

Stock Index

S0 $ 400.00 F0 408.0805 F0=S0*[e^(r-q)T]

e 2.718282
q 4% Dividend yield
r 10%
T 0.333333

Forward Price: Foreign Currencies

S0 $ 0.80 F0 0.80401 F0=S0*[e^(r-rf)T]

e 2.718282
r 5%
rf 2% Foreign risk-free rate
T 0.166667

Forward Price: Cost of Carry

S0 $ 30.00 F0 32.33652 F0=S0*[e^(c-y)T]

e 2.718282
^(rcc-rdiv+rcost)T] c 10%
y Yield on consumption asset
T 0.75

+reff-rdiv+rcost)^T)
 Arbitrage Opportunity

S0 $ 189.37 c $ 24.94 c+K*(e^-rT)=p+S0

K $ 180.00 p $ 17.95
c $ 33.02
p $ 9.87
r 3.1578%
T 1.019178
e 2.718282
 Trading Profits
90-day
Trades Level Contract Value Exposure/Open position Gain/Loss
15 99.56 998916.24 15 0
-10 99.58 998965.45 5 738.15
20 99.63 999088.5 25 615.25
-30 99.61 999039.28 -5 -1230.5

Close 99.58 998965.45 -5 369.15

Total 492.05

30-day Cash Futures Prices

S0 $ 98.17 Kt 4512.3287671
Yield 1.83 4512.33
T 0.0821917808

Profit/Loss
S0 (sell) $ 97.43 Kt (selling) 171098.63
S0 (buy) $ 97.86 Kt (buying) 142471.23288
Contracts 27
Yield (sell) 2.57 Profit/Loss 28627.40
Yield (buy) 2.14
T 0.0821917808

90-day Bank Bill Futures

S0 $ 98.97 Kt 997466.70784
Yield 1.03 997466.71
T 0.2465753425

Profit/Loss
S0 (sell) $ 96.64 Kt (sell) 991783.14458
S0 (buy) $ 96.82 Kt (buy) 992219.90855
Yield (sell) 3.36
Yield (buy) 3.18 Profit/Loss -436.76
T 0.2465753425

3-year Bond Futures

c 3 Kt 110528.73254
v 0.98841088 110528.73
i 0.011725
S0 $ 97.66
Yield 2.345
Coupon rate 6
 Profit/Loss
c 3 c 3
v 0.99334459 v 0.99277754
i 0.0067 i 0.007275
S0 (sell) $ 98.66 S0 (buy) 98.545
Yield (sell) 1.34 Yield (buy) 1.455
Kt 113657.94 Kt 113294.45

5-year Bond Futures

c 1 Kt 98381.215886
v 0.98841088 98381.22
i 0.011725
S0 $ 97.66
Yield 2.345
Coupon rate 2

Profit/Loss
c 1 c 1
v 0.9846881 v 0.98347758
i 0.01555 i 0.0168
S0 (sell) $ 96.89 S0 (buy) $ 96.640
Yield (sell) 3.11 Yield (buy) 3.36
Kt 94896.57 Kt 93788.3

10-year Bond Futures

c 3 Kt 125703.69997
v 0.98519741 125703.7
i 0.015025
S0 $ 96.995
Yield 3.005
Coupon rate 6

Profit/Loss
c 3 c 3
v 0.98531875 v 0.98519741
i 0.0149 i 0.015025
S0 (sell) $ 97.020 S0 (buy) $ 96.995
Yield (sell) 2.98 Yield (buy) 3.005
Kt 125950.22 Kt 125703.7
125950.22 126395.43

20-year Bond Futures

c 2 Kt 82095.631165
v 0.98841088 82095.63
i 0.011725
S0 $ 97.655
Yield 2.345
Coupon rate 4

Profit/Loss
c 2 c 2
v 0.97979179 v 0.97868905
i 0.020625 i 0.021775
S0 (sell) $ 95.875 S0 (buy) $ 95.645
Yield (sell) 4.125 Yield (buy) 4.355
Kt 63900.77 Kt 61939.92
 long 15 bank bill futures at 99.56, sell at 99.58,
buy 20 at 99.63, sell 30 at 99.61
market close at 99.58

(Profit/Loss)

30-day cash futures based on $3m invested at cash rate for 30 days
Kt=3,000,000*(Yield/100)*T

991783.14 Number of contracts

992219.91 25

$ 10,919.250
Number of contracts
-15

Profit/Loss 5452.35 second trade-first trade

consider -+ in number of contracts (shorting/buying)

Number of contracts
22

Profit/Loss -24381.94 =second trade - first trade

Number of contracts
12

Profit/Loss 2958.24 =second trade - first trade

5629.50
Number of contracts
-7

Profit/Loss 13725.95 =second trade - first trade

 Trading Profits
90-day
Trades Level Contract Value Exposure/Open position Gain/Loss
15 99.56 998916.24 15 0
-10 99.58 998965.45 5 738.15
20 99.63 999088.5 25 615.25
-30 99.61 999039.28 -5 -1230.5

Close 99.58 998965.45 -5 369.15

Total 492.05 (Profit/Loss)

Trading Profits
SPI200
Trades Level Contract Value Exposure/Open position Gain/Loss
-100 7362 184,050.00 -100 0.00
-50 7369 184,225.00 -150 -17,500.00
-100 7374 184,350.00 -250 -18,750.00
50 7382 184,550.00 -200 -50,000.00
100 7388 184,700.00 -100 -30,000.00
-50 7370 184,250.00 -150 45,000.00
25 7358 183,950.00 -125 45,000.00
-50 7370 184,250.00 -175 -37,500.00

Close 7382 184,550.00 -175 -52,500.00

Total -116,250.00 (Profit/Loss)

Trading Profits
10-year
Trades Level i v n c
-25 97.155 0.01422500 0.98597451255885 20 3
-15 97.12 0.01440000 0.985804416403786 20 3
-15 97.125 0.01437500 0.985828712261245 20 3
20 97.07 0.01465000 0.985561523678116 20 3
15 97.065 0.01467500 0.985537240988494 20 3
-5 97.02 0.01490000 0.985318750615824 20 3
5 96.995 0.01502500 0.985197408930814 20 3
5 96.985 0.01507500 0.985148880624584 20 3
Close 96.995 0.01502500 0.985197408930814 20 3
Total

Trading Profits
3-year
Trades Level i v n c
-25 97.155 0.01422500 0.98597451255885 6 3
 -15 97.12 0.01440000 0.985804416403786 6 3
-15 97.125 0.01437500 0.985828712261245 6 3
20 97.07 0.01465000 0.985561523678116 6 3
15 97.065 0.01467500 0.985537240988494 6 3
-5 97.02 0.01490000 0.985318750615824 6 3
5 96.995 0.01502500 0.985197408930814 6 3
5 96.985 0.01507500 0.985148880624584 6 3
Close 96.995 0.01502500 0.985197408930814 6 3
Total

Trading Profits
5-year
Trades Level i v n c
-25 97.155 0.01422500 0.98597451255885 10 1
-15 97.12 0.01440000 0.985804416403786 10 1
-15 97.125 0.01437500 0.985828712261245 10 1
20 97.07 0.01465000 0.985561523678116 10 1
15 97.065 0.01467500 0.985537240988494 10 1
-5 97.02 0.01490000 0.985318750615824 10 1
5 96.995 0.01502500 0.985197408930814 10 1
5 96.985 0.01507500 0.985148880624584 10 1
Close 96.995 0.01502500 0.985197408930814 10 1
Total

Trading Profits
20-year
Trades Level i v n c
-25 97.155 0.01422500 0.98597451255885 40 2
-15 97.12 0.01440000 0.985804416403786 40 2
-15 97.125 0.01437500 0.985828712261245 40 2
20 97.07 0.01465000 0.985561523678116 40 2
15 97.065 0.01467500 0.985537240988494 40 2
-5 97.02 0.01490000 0.985318750615824 40 2
5 96.995 0.01502500 0.985197408930814 40 2
5 96.985 0.01507500 0.985148880624584 40 2
Close 96.995 0.01502500 0.985197408930814 40 2
Total
 SPI200
Contract Value
=Level*25

Contract Value Gain/Loss

-25 127291.58 0
-40 126942.16 8735.5
-55 126992.01 -1994
-35 126445.01 30085.00
-20 126395.43 1735.3
-25 125950.22 8904.2
-20 125703.70 6163
-15 125605.26 1968.8
-15 125703.70 -1476.6
54121.2

Contract Value Gain/Loss

-25 109011.08 0
-40 108905.8 2632
-55 108920.83 -601.2
-35 108755.62 9086.55
-20 108740.61 525.35
-25 108605.68 2698.6
-20 108530.81 1871.75
-15 108500.88 598.6
-15 108530.81 -448.95
16362.7

Contract Value Gain/Loss

-25 96087.58 0
-40 95929.31 3956.75
-55 95951.9 -903.6
-35 95703.72 13649.90
-20 95681.2 788.2
-25 95478.73 4049.4
-20 95366.47 2806.5
-15 95321.6 897.4
-15 95366.47 -673.05
24571.5

Contract Value Gain/Loss

-25 76390.15 0
-40 76009.58 9514.25
-55 76063.8 -2168.8
-35 75470.01 32658.45
-20 75416.31 1879.5
-25 74935.23 9621.6
-20 74669.62 6640.25
-15 74563.71 2118.2
-15 74669.62 -1588.65
58674.8
 Payoff Table
Long
Price Put Option Payoff + Call Option Payoff =Resultant Payoff
6200 35 -15 20
6210 25 -15 10
6220 15 -15 0
6230 5 -15 -10
6240 -5 -15 -20
6250 -15 -15 -30
6260 -15 -5 -20
6270 -15 5 -10
6280 -15 15 0
6290 -15 25 10
6300 -15 35 20

Payoff Table
Short
Price Put Option Payoff + Call Option Payoff =Resultant Payoff
6200 -35 15 -20
6210 -25 15 -10
6220 -15 15 0
6230 -5 15 10
6240 5 15 20
6250 15 15 30
6260 15 5 20
6270 15 -5 10
6280 15 -15 0
6290 15 -25 -10
6300 15 -35 -20
 Put-Call Arbitrage

S $ 24.92 c 2.38 Theoretical call price

K $ 25.00 p 2.87 need to compare market & theoretical price
r 3.6578% buy low, sell high
T 0.257534
e 2.718282 No Arbitrage
c $ 3.02 2.87
p $ 2.23

Call Put
If theoretical > market If theoretical > market
Profit $ (0.65) Profit $ 0.65 =(premium sale - premium buy)*e^rT

If theoretical < market If theoretical < market

Profit $ 0.65 Profit $ (0.65) Profit will be the same for put & call

if theoretical < market (call)

--> buy synthetic call and sell call in the market
if theoretical > market (put)
--> buy the put in the market and sell synthetic put
 rket & theoretical price

mium buy)*e^rT

me for put & call

 Valuation European Call

S0 $ 50.00 p 0.683903
K $ 52.00 1-p 0.316097
STu $ 60.00 f1u 8 =max(STu-K,0)
STd $ 45.00 f1d 0 =max(STd-K,0)
u 1.2 =1+% f0 4.950569
d 0.9 =1-%
r 10%
T 1
e 2.718281828

Binomial Tree with Div

European Call
S0 $ 50.00 p 0.6266
K $ 52.00 1-p 0.3734
r 5.00%
T 0.5 in 1y, div per 6m
Steps 2
Div $ 2.00 per 6 months
u 1.1 =1+%
d 0.9 =1-%
e 2.718281828

S1u $ 55.0000 fuu' 4.3000

S1u' $ 53.0000 fud' 0.0000
S1d $ 45.0000 fdu' 0.0000
S1d' $ 43.0000 fdd' 0.0000
Suu $ 58.3000
Suu' $ 56.3000 fu 2.6278
Sud $ 47.7000 fd 0.0000
Sud' $ 45.7000
Sdu $ 47.3000 f0 1.6058
Sdu' $ 45.3000 1.61
Sdd $ 38.7000
Sdd' $ 36.7000

Binomial Tree with Div

American Put
S0 $ 288.33 u 1.2091
K $ 300.00 d 0.8271
r 4.2278% p 0.5086
T 0.5 in 1y, 2 steps in 6m 1-p 0.4914
Steps 2
Div 1 $ 22.78 in 6 months
Div 2 $ 25.88 in 12 months
Volatility 26.85%
e 2.718281828

S1u $ 348.6135 fuu' 0.0000

S1u' $ 325.8335 fud' 56.3908
S1d $ 238.4709 fdu' 65.0928
S1d' $ 215.6909 fdd' 147.4871
Suu $ 393.9581
Suu' $ 368.0781 fu 27.1306
Sud $ 269.4892 fd 103.3726
Sud' $ 243.6092
Sdu $ 260.7872 f0 63.2444
Sdu' $ 234.9072 Delta
Sdd $ 178.3929
Sdd' $ 152.5129

Binomial Tree without Div

European Call
S0 $ 5.00 p 0.4925
K $ 4.00 1-p 0.5075
r 10.00%
T 1
% up
% down
u 1.6 =1+%
d 0.625 =1-%
Su $ 8.00
Sd $ 3.13
e 2.718281828
fu 4 =max(Su-K,0) f0 1.782468
fd 0 1.78

2-step Binomial Tree w/o Div

European Call
S0 $ 100.00 p 0.7041
K $ 100.00 1-p 0.2959
r 8.00%
T 0.5 3 months/step
% up 10% every 3 months
% down 10% every 3 months
u 1.1
d 0.9
e 2.718281828

S0u $ 110.0000 fuu $ 21.0000

S0d $ 90.0000 fud $ -
S0uu $ 121.0000 fdd $ -
S0ud $ 99.0000
S0du $ 99.0000 fu $ 14.20540
S0dd $ 81.0000 fd $ -

f $ 9.6092
$ 9.61
Delta 0.71026989997

2-step Binomial Tree w/o Div

European Put
S0 $ 100.00 p 0.7041
K $ 100.00 1-p 0.2959
r 8.00%
T 0.5 3 months/step
% up 10% every 3 months
% down 10% every 3 months
u 1.1
d 0.9
e 2.718281828

S0u $ 110.0000 fuu $ -

S0d $ 90.0000 fud $ 1.0000
S0uu $ 121.0000 fdd $ 19.0000
S0ud $ 99.0000
S0du $ 99.0000 fu $ 0.28434
S0dd $ 81.0000 fd $ 6.07894

f $ 1.9208
$ 1.92
Delta -0.2897301

Verify T=1 Trong cthuc parity, dùng T. Tính c,p dùng t

$ 101.92 $ 101.92
 Binomial Tree with Div
American Put
S0 $ 288.33 u 1.2091
K $ 300.00 d 0.8271
r 4.2278% p 0.5086
T 0.5 in 1y, 2 steps in 6m 1-p 0.4914
Steps 2
Div 1 $ 22.78 in 6 months
Div 2 $ 25.88 in 12 months
Volatility 26.85%
e 2.718281828

S1u $ 348.6135 fuu' 0.0000

S1u' $ 325.8335 fud' 56.3908
S1d $ 238.4709 fdu' 65.0928
S1d' $ 215.6909 fdd' 147.4871
Suu $ 393.9581
Suu' $ 368.0781 fu 27.1306
Sud $ 269.4892 fd 103.3726
Sud' $ 243.6092
Sdu $ 260.7872 Payoff for American option at node B:
Sdu' $ 234.9072 fB 0
Sdd $ 178.3929 Fu(max) 27.1305953003
Sdd' $ 152.5129
f0 63.2444

Delta -0.6922

Binomial Tree with Div

American Call
S0 $ 262.84 u 1.2732
K $ 230.00 d 0.7854
r 3.7278% p 0.5178
T 1 in 2y, 2 steps in 1y 1-p 0.4822
Steps 2
Div 1 $ 12.78 in 6 months
Div 2 $ 12.98 in 12 months
Volatility 24.15%
e 2.718281828

S1u $ 334.6479 fuu' 166.8222

S1u' $ 321.8679 fud' 9.8150
S1d $ 206.4345 fdu' 3.5810
S1d' $ 193.6545 fdd' 0.0000
Suu $ 409.8022
Suu' $ 396.8222 f1u' 87.7793
Sud $ 252.7950 f1d' 1.7864
Sud' $ 239.8150
Sdu $ 246.5610 Payoff for American option at node B:
Sdu' $ 233.5810 fB 91.867888
Sdd $ 152.0963 Fu'(max) 91.867888
Sdd' $ 139.1163
f0 46.6584

Delta 0.7026

Binomial Tree without Div

European Put
S0 $ 5.00 p 0.4925
K $ 4.00 1-p 0.5075
r 10.00%
T 1
% up
% down
u 1.6 =1+%
d 0.625 =1-%
Su $ 8.00
Sd $ 3.13
e 2.718281828
fu $ - =max(K-Su,0) f0 0.401818
fd $ 0.88 0.40

2-step Binomial Tree w/o Div

American Put
S0 $ 50.00 p 0.6282
K $ 52.00 1-p 0.3718
r 5.00%
T 1 in 2 yrs -> 1yr/step
% up 20%
% down 20%
u 1.2
d 0.8
e 2.718281828

S0u $ 60.0000 fuu $ -

S0d $ 40.0000 fud $ 4.0000
S0uu $ 72.0000 fdd $ 20.0000
S0ud $ 48.0000
S0du $ 48.0000 fu $ 1.41475
S0dd $ 32.0000 fd $ 9.4639

Payoff for American option at node B:

fB $ -
Fu(max) $ 1.41475

f $ 5.09

Delta -0.5292623453

2-step Binomial Tree w/o Div

American Call
S0 $ 50.00 p 0.6282
K $ 52.00 1-p 0.3718
r 5.00%
T 1 in 2 yrs -> 1yr/step
% up 20%
% down 20%
u 1.2
d 0.8
e 2.718281828

S0u $ 60.0000 fuu $ 20.0000

S0d $ 40.0000 fud $ -
S0uu $ 72.0000 fdd $ -
S0ud $ 48.0000
S0du $ 48.0000 fu $ 11.95082
S0dd $ 32.0000 fd $ -

Payoff for American option at node B:

fB $ -
Fu(max) $ 11.95082

f $ 11.39

Delta -0.002458849
 Payoff for American option at node C:
fC 84.309053145
Fd(max) 103.372576408

choose the higher in (f&F) --> changes in f0 & delta

 Payoff for American option at node C:
fC 0
Fd'(max) 1.78636955481

choose the higher in (f&F) --> changes in f0 & delta

Verify put-call parity

c0+Ke^-rT=p0+S0-D0
$ 5.40 $ 5.40
Payoff for American option at node C:
fC $ 12.00
Fd(max) $ 12.0000

Payoff for American option at node C:

fC $ 12.00
Fd(max) $ 12.0000
Call
S0 $ 5.00
D0 $ -
K $ 4.00
T 1 Su
r 10% $ 8.0000
Standard deviation no
Prob (up) 1.6 fu
Prob (down) 0.625 S0 $ 4.0000
p 0.492483 f0
1-p 0.507517 1.782468
Sd
$ 3.1250
Nếu cho SD:
SD 1 fd
Prob (up) 2.718282 $ -
Prob (down) 0.367879

Put
Su
$ 8.0000

fu
S0 $ -
f0
0.401818
Sd
$ 3.1250

fd
$ 0.8750
Verify put-call parity
c0+Ke^-rT=p0+S0-D0
$ 5.40 $ 5.40
 BSM with Div
European
S0 $ 10.00 D0 $ 0.3853 c
K $ 11.00 S'0 $ 9.6147 p
Div 1 $ 0.40
t1 0.7500 d1 -0.1320
Div 2 N(d1) 0.4475
t2 N(-d1) 0.5525
Volatility 30.00%
r 5.0000% d2 -0.4320 -0.4320
T 1 N(d2) 0.3329
e 2.718281828 N(-d2) 0.6671

BSM w/o Div

European
S0 $ 5.00 D0 $ - c
K $ 4.00 S'0 $ 5.0000 p
Intrinsic Value
d1 0.922539471 Time Value
N(d1) 0.821876374
N(-d1) 0.178123626
Volatility 47.00%
r 10.0000% d2 0.4525 0.4525
T 1 N(d2) 0.6745598035
e 2.718281828 N(-d2) 0.3254401965

Call option --> want market to rise

S 6.23 Intrinsic value 1.18 =Underlying-K
K 15 Time value 5.05 =S-Intrinsic
Market pri 16.18

Put option --> want market to fall

S 0.18 Intrinsic value 0
K 25 Time value 0.18
Market pri 27.52

BSM with Div Yield

S0 $ 6,395.00 c
K $ 6,450.00 S'0 $ 6,384.1028 p
q 4.15% div yield Round to 1/2 points
d1 -0.2507 c
N(d1) 0.4010 p
 N(-d1) 0.5990
Volatility 18.25%
r 0.7500% d2 -0.2877
T 0.0410958904 N(d2) 0.3868
e 2.718281828 N(-d2) 0.6132
 $ 0.82
$ 1.67 S'0 wrong p S0 hay S'0
Option price=Intrinsic+Time value

1.66791 Verify put-call parity

0.28726 c0+Ke^-rT=p0+S0-D0
$ 5.29 $ 5.29

65.93 points
129.84 S'0 hay S0?
nd to 1/2 points
$ 1,650.00 round to 1/2 points in SPI200
$ 3,250.00 multiply by 25 for each point
 Australian Bond Formula
Fixed Income
FV 4,500,000 f
C% 2.73% d
Maturity date 11/24/2037 f/d
i 2.2130% i/2
last coupon date 11/24/2022 v
valuation date 1/17/2023 n
next coupon date 5/24/2023 g
P

15 29 P
Australian Bond Formula
Fixed Income
day from the settlement until the next coupon payment 127
number of days in the current coupon period 181
8 decimal places 0.70165746
0.0111
= 1/(1+i/2), 8 decimal places 0.98905609
number of coupon periods to maturity 29
half-yearly coupon payment per $100 1.3625
price per $100 face value, 3 decimal places 106.85533136
106.855 per $100 FV
price, 2 decimal places 4,808,475.00
Volatility Matching
Fixed interest securities

Step 1: Bond price/$100 FV

FV 100,000,000 f
C% 2.25% d
Maturity date 12/7/2030 f/d
yield 1.0800% i/2
last coupon date 6/7/2018 v
valuation date 12/6/2018 n
next coupon date 12/7/2018 g
n=years*2 24 P

13 24 P

Step 2: Futures Price

c 3 P
v 0.99418402
i 0.00585
S0 $ 98.830
Yield 1.17
Coupon rate 6
n=years*2 20

Step 3: Calculate A1
i 0.0029
V 0.99710839
n 24
g 1.125
P 120.45452242
120.4545

Step 4: Calculate A2
i 0.0079
V 0.99216192
n 24
g 1.125
P 108.417972566
108.4180

Step 5: Calculate B1
i 0.00335
V 0.99666119
n 20
g 3
P 151.47028343
151.4703
Step 6: Calculate B2
i 0.00835
V 0.99171915
n 20
g 3
P 139.72538393
139.7254

Step 7: Calculate Volatility Match

N 805.00976321
805 contracts
--> Sell 805 10-year bond futures contracts at 98.83 (note the basis risk)
day from the settlement until the next coupon payment 1
number of days in the current coupon period 183
8 decimal places 0.00546448
0.0054
= 1/(1+i/2), 8 decimal places 0.99462900
number of coupon periods to maturity 24
half-yearly coupon payment per $100 1.125
price per $100 face value, 3 decimal places 114.2567286343
114.257
price, 2 decimal places 114,257,000.00

145,456.3111
145,456.31
98.83 (note the basis risk)