Kaplan 2016 - 1st set of exams - Exam 3 morning session - Question37

CFA Level II Derivatives
#1

Hi Everyone,

For those who have access to the material, in the proposed solution, Kaplan is not substracting the Accrued Interest from the value of the Forward Bond Price.

I am not sure if there is a mistake in the correction.

Shouldn’t the formula be:

Fd (bond) = FV (dirty price) - Accrued Value at T - FV (coupon paid)

?

#2

That would be the formula for a futures contract

The question was for a forward contract