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ZAA · 2022年06月09日

100指代啥

  1. CFA II
  2. Derivative

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

0.012乘以100除以2是啥意思？？

100指代啥

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1 个答案

Lucky_品职助教 · 2022年06月10日

嗨，从没放弃的小努力你好：


The underlying 1.2%, semi-annual two-year Treasury note is quoted at a clean price of 103. 

这里的100是指债券的面值。除以2是因为coupon是semi-annual即每半年付一次的~

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