(Martellini, Ex. 2.17) Consider the US T-bond with coupon 4.625% and maturity date 05/15/2006:
a. Compute the accrued interest of that bond on 01/07/2002.
b. Its quoted price was 101.0625 on 01/07/2002. Calculate its yield to maturity. What is the equivalent annual yield to maturity?
c. Knowing that the repo rate for that bond was 1.67% on 01/07/2002, calculate the daily net funding cost or gain for an investor that is long $1 million of that bond.