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AnnaZ · 2023年03月21日

站在哪个时间点

NO.PZ2019010402000057

问题如下:

Aries is going to purchase a two-year Treasury note futures contract, The underlying 1.2%, semi-annual two-year Treasury note is quoted at a clean price of 103. It has been 60 days since the last coupon payment. Aries wants to calculate the full spot price of the underlying two-year Treasury note:

选项:

A.

103.60

B.

103.20

C.

102.80

解释:

B is correct

本题考察的是计算一个两年期国库券的价格。

S0 = Quoted bond price + Accrued interest = B0 + AI0

Accrued interest ( AI )= Accrural period × Periodic coupon amount = NAD/NTD× C/n

AI = (60/180) × (0.012*100/2) = 0.20.

S0 = 103 + 0.20 = 103.20

老师这个题里面说他is going to buy,那就说明现在是站在0时点,然后下一句说it has been 60days since last coupon payment,那第一次付coupon应该在6个月的时候,那这个表述意思现在就站在8个月的时点了吗?

所以没明白让计算spot full price 应该是在哪个时间点上的

3 个答案

Sibyl · 2023年10月01日

既然accused interest是since last payment的应得,不应该是后来未发的三个进行折现么?

Sibyl · 2023年10月01日

since last payment day,不一定是第一个payment啊

Lucky_品职助教 · 2023年03月22日

嗨,爱思考的PZer你好:


Accrued interest是指距离上一次coupon发放日到settlement date期间应得的利息。

我们可以把流通期间的债券理解为怀孕的母猪,如果买卖母猪(bond),小猪(interest)的价值也会一直被算进母猪的价值里,但目前拥有母猪的人,还没有真的得到小猪,所以叫accrued(interest)。it has been 60days since last coupon payment说明本题是站在60天的时点哦~

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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