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lion · 2023年03月02日

基础问题补充

NO.PZ2016082402000060

问题如下:

The yield curve is upward sloping. You have a short T-bond futures position. The following bonds are eligible for delivery:

The futures price is 103-17/32 and the maturity date of the contract is September 1. The bonds pay their coupon semiannually on June 30 and December 31. The cheapest to deliver bond is:

选项:

A.

Bond A

B.

Bond C

C.

Bond B

D.

Insufficient information

解释:

ANSWER: B

the complete method:

minimize the cost [cost= Bond price - Future price* conversion factor], and we can find choice B(bond C) is the answer.

想问一下这道题为啥和counpon没有关系,AI是啥

1 个答案

DD仔_品职助教 · 2023年03月04日

嗨,从没放弃的小努力你好:


同学你好,

AI是accrued interest应计利息,其实就是coupon,利息在债券里就叫做coupon。

在求最便宜交割债券时,AI是可以约掉,不用考虑,所以我们在计算的时候就跟coupon没关系啦。

short方在T时刻收到的钱是FP*CF + AI,然后short方挑选一个最便宜的债券给long方,这个最便宜的债券的价格是SP + AI,这个相当于是short方的成本。所以short方的收益时 FP*CF - SP。要挑选最便宜交割债券,即最大化这个收益。所以收益表达式中不包含AI。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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