开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

lesley_826 · 2023年03月03日

关于ai0和ait

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

所以AI0的计算是上一期coupon累积了分红周期内已经过去了多长的时间,我理解对吗?那AI(t)又怎么计算呢?accrual interest 都不用折现的吗?至少ai0不用折现,对吧

1 个答案

Lucky_品职助教 · 2023年03月08日

嗨,爱思考的PZer你好:


答案中给出的S0是0时刻定价,这个公式的原理也可以用于各个时刻定价,比如目前在60时点,就是60时点的bond price + AI60

semi-annual 支付利息的 Treasury,所以每次coupon发放间隔,180天,距离上次发放已经60天,所以要accrue 60天 of 180天的利息。

AI是否需要折现,取决于要算的时点,我们算出的AI正好就是60时点的,就不需要折现了

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 315

    浏览
相关问题

NO.PZ2019010402000057问题如下 Aries is going to purchase a two-yeTreasury notefutures contract, The unrlying 1.2%, semi-annutwo-yeTreasury note isquotea clepriof 103. It hbeen 60 ys sinthe last couponpayment. Aries wants to calculate the full spot priof the unrlying two-yearTreasury note: A.103.60B.103.20C.102.80 B is correct本题考察的是计算一个两年期国库券的价格。S0 = Quotebonpri+ Accrueinterest = + AI0 Accrueinterest ( )= Accrurperio×Perioc coupon amount = (NANT× (C/n)= (60/180) × (0.012*100/2) = 0.20.S0 = 103 + 0.20 = 103.20 ​按我这个图,上一次发放到settlement,应该是后面三个coupon啊Accrueinterest是指距离上一次coupon发放日到settlement te期间应得的利息。

2023-10-01 23:07 2 · 回答

NO.PZ2019010402000057问题如下 Aries is going to purchase a two-yeTreasury notefutures contract, The unrlying 1.2%, semi-annutwo-yeTreasury note isquotea clepriof 103. It hbeen 60 ys sinthe last couponpayment. Aries wants to calculate the full spot priof the unrlying two-yearTreasury note: A.103.60B.103.20C.102.80 B is correct本题考察的是计算一个两年期国库券的价格。S0 = Quotebonpri+ Accrueinterest = + AI0 Accrueinterest ( )= Accrurperio×Perioc coupon amount = (NANT× (C/n)= (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 hbeen 60ys sinlast 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 pri应该是在哪个时间点上的

2023-03-21 13:33 3 · 回答

NO.PZ2019010402000057 问题如下 Aries is going to purchase a two-yeTreasury notefutures contract, The unrlying 1.2%, semi-annutwo-yeTreasury note isquotea clepriof 103. It hbeen 60 ys sinthe last couponpayment. Aries wants to calculate the full spot priof the unrlying two-yearTreasury note: A.103.60 B.103.20 C.102.80 B is correct本题考察的是计算一个两年期国库券的价格。S0 = Quotebonpri+ Accrueinterest = + AI0 Accrueinterest ( )= Accrurperio×Perioc coupon amount = (NANT× (C/n)= (60/180) × (0.012*100/2) = 0.20.S0 = 103 + 0.20 = 103.20 老师,答案是= (60/180) × (0.012*100/2),我自己想的是=60/360*1.2%*100,能否这样计算呢?虽然半年付息,但是60天除以360,是对应年化1.2%的。

2022-07-28 17:32 3 · 回答

NO.PZ2019010402000057 问题如下 Aries is going to purchase a two-yeTreasury notefutures contract, The unrlying 1.2%, semi-annutwo-yeTreasury note isquotea clepriof 103. It hbeen 60 ys sinthe last couponpayment. Aries wants to calculate the full spot priof the unrlying two-yearTreasury note: A.103.60 B.103.20 C.102.80 B is correct本题考察的是计算一个两年期国库券的价格。S0 = Quotebonpri+ Accrueinterest = + AI0 Accrueinterest ( )= Accrurperio×Perioc coupon amount = (NANT× (C/n)= (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

2022-06-09 15:07 1 · 回答