Kemper’s second investment idea is to purchase a 10-year Treasury note futures contract. The underlying 2%, semi-annual 10-year Treasury note has a dirty price of 104.17. It has been 30 days since the 10-year Treasury note’s last coupon payment. The futures contract expires in 90 days. The quoted futures contract price is 129. The current annualized three-month risk-free rate is 1.65%. The conversion factor is 0.7025. Doyle asks Kemper to calculate the equilibrium quoted futures contract price based on the carry arbitrage model.
Q0 = (1/CF) × [FV(B0 + AI0 ) − AIT − FVCI].
CF = 0.7025
B0 = 104.00
AI0 = 0.17
AIT = (120/180 × 0.02*100/2) = 0.67
FVCI = 0.
Q0 =(1/0.7025) × [(1+0.0165)(3/12) (104.17) - 0.67-0]=147.94
这个问题我想问一下，这个AI0=0.17是怎么得出来的？题目看了很多遍，但是没有说COUPON是多少啊，只是说一年是2.
