Treasury bond price is 91
What is the gain/loss on the interest rate forward?
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Is the answer 88856 approx?
and why have you mentioned tressuary bond price.
The answer is a gain of $89132.
Forward (new) = S $/GBP 1. 3068 * [(1 + 1.05% * 6/12)/(1 + 1.6% * 6/12)] = 1.3032
gain (t=1) = 1.3144 – 1.3032 = 0.0112 * 8m = $89600
gain (t=0.5) = 89600/ (1 + 1.05% * 6/12) = $89132