Question no 1.
To my knowledge the price of a 2 year forward contract on a 5 years ZCB = F(5,2) but they have solved it as F(2,5). Please clarify! I know this is a very simple question but just before the exams. So a bit anxious.
NeelPro
Confusion regarding the structure of forward price
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You are mistaken.
The ZCB is of 5 years maturity and the forward contract is for Maturity, 2 years from now.
So, it’s F(2,5)