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Pricing long dated forward bond trades
How does one go about pricing long dated forward bond trades (e.g. 5y forward trade on 30y US Treasury) given that the repo market is only liquid till say 1y. Lets assume that we have daily margining with the counterpartyTks!
Last edited by longvega on January 21st, 2010, 11:00 pm, edited 1 time in total.