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AnnaZ · 2023年03月21日

站在哪个时间点

  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

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 has been 60days since last 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 price 应该是在哪个时间点上的

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3 个答案

Sibyl · 2023年10月01日

既然accused interest是since last payment的应得，不应该是后来未发的三个进行折现么？

Sibyl · 2023年10月01日

since last payment day，不一定是第一个payment啊

Lucky_品职助教 · 2023年03月22日

嗨，爱思考的PZer你好：


Accrued interest是指距离上一次coupon发放日到settlement date期间应得的利息。

我们可以把流通期间的债券理解为怀孕的母猪，如果买卖母猪(bond)，小猪(interest)的价值也会一直被算进母猪的价值里，但目前拥有母猪的人，还没有真的得到小猪，所以叫accrued(interest)。it has been 60days since last coupon payment说明本题是站在60天的时点哦~

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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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。

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