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苏·Xu · 2022年10月19日

NO.PZ2018062006000071

问题如下:

Today is 5 June 2013. A three-year semi-annual bond with a coupon rate of 6% just paid its first coupon payment. The interest payment dates are 5 April and 5 October. The yield-to-maturity equals to 5%. If day count convention is 30/360, calculate the flat price of this bond on 5 June 2013.

选项:

A.

102.17

B.

100.00

C.

100.24

解释:

A is correct.

The bond price at the first coupon payment date:

N=5,I/Y=2.5,PMT=3,FV=100 → PV= -102.32

The number of days between 5 April 2013 (first coupon payment date) and today (5 June 2013) is 60 days based on the 30/360 day count convention.

Full price today:

102.32×(1+2.5%)60/180=103.17

Accrued Interest =100 × 3% × (60/180)=1

Flat price today:

Flat price= Full price- Accrued Interest=103.17-1=102.17

考点:flat price & full price

解析:flat price = full price - accrued interest = 103.17 - 1 = 102.17,故选项A正确。

有解题思路,但是 at the first coupon payment date,N为什呢是 5 而不是6?

1 个答案

吴昊_品职助教 · 2022年10月20日

嗨,爱思考的PZer你好:


现在的时间点是2013.6.5,在两个月前已经有了第一笔coupon,未来还有五笔现金流,分别是2013.10.5;2014.4.5;2014.10.5;2015.4.5以及2015.10.5。所以N是5,画出对应的现金流时间轴更便于解题。

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NO.PZ2018062006000071问题如下 Toy is 5 June 2013. A three-yesemi-annubonwith a coupon rate of 6% just paiits first coupon payment. The interest payment tes are 5 April an5 October. The yielto-maturity equals to 5%. If y count convention is 30/360, calculate the flpriof this bonon 5 June 2013.A.102.17B.100.00C.100.24 A is correct.The bonprithe first coupon payment te:N=5,I/Y=2.5,PMT=3,FV=100 → PV= -102.32 The number of ys between 5 April 2013 (first coupon payment te) antoy (5 June 2013) is 60 ys baseon the 30/360 y count convention.Full pritoy:102.32×(1+2.5%)60/180=103.17AccrueInterest =100 × 3% × (60/180)=1Flpritoy:Flprice= Full price- AccrueInterest=103.17-1=102.17考点flpri full price解析flpri= full pri- accrueinterest = 103.17 - 1 = 102.17,故A正确。 n=5时算的应该是2013.10.5日的折现价格吧,但是题目给的是2013.6.5开始的,我感觉应该折现到2016.4.5,这样N=6,再根据具体日子数算出2013.6.5的价格,这样理解有什么问题吗

2023-07-05 14:48 1 · 回答

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2023-02-18 06:43 1 · 回答

NO.PZ2018062006000071 100.00 100.24 A is correct. The bonprithe first coupon payment te: N=5,I/Y=2.5,PMT=3,FV=100 → PV= -102.32  The number of ys between 5 April 2013 (first coupon payment te) antoy (5 June 2013) is 60 ys baseon the 30/360 y count convention. Full pritoy: 102.32×(1+2.5%)60/180=103.17 AccrueInterest =100 × 3% × (60/180)=1 Flpritoy: Flprice= Full price- AccrueInterest=103.17-1=102.17请问102.32 按照公式不就是flpri的PV 么?这个数值是未来现金流的折现求和,所以是settlement 的时刻呀

2021-04-08 21:15 1 · 回答

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