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Sun. · 2023年07月02日

考虑AIT了吗

NO.PZ2023020101000010

问题如下:

Three months ago (90 days), Kim purchased a bond with a 3% annual coupon and a maturity date of seven years from the date of purchase. The bond has a face value of US$1,000 and pays interest every 180 days from the date of issue. Kim is concerned about a potential increase in interest rates over the next year and has approached Riley for advice on how to use forward contracts to manage this risk. Riley advises Kim to enter into a short position in a fixed-income forward contract expiring in 360 days. The annualized risk-free rate now is 1.5% per year and the price of the bond with accrued interest is US$1,103.45.

Based on a 360-day year, the price of the forward contract on the bond purchased by Kim is closest to

选项:

A.

US$1,082.

B.

US$1,090.

C.

US$1,120.

解释:

Note that time 0 is the forward contract initiation date, that is, 90 days after the purchase of the bond. Time T is the contract expiration date, that is, 360 days.

The forward contract price follows:

F0(T) = FV0,T [S0 – PVCI0,T]

Present value (PV) of coupons = PVCI0,T = 15/(1.015)90/360 + 15/(1.015)270/360 = 14.944 + 14.833 = US$29.778

F0(T) = (1103.45 – 29.778)(1.015)360/360 = US$1,090.

请教老师,算出来的1090这个结果不是包含AIT的结果吗,为什么不减去AIT呢

1 个答案

Lucky_品职助教 · 2023年07月02日

嗨,努力学习的PZer你好:


F0(T) = FV0,T [S0 – PVCI0,T] 计算forward合约价值,不涉及AIT哦,那是计算futures的公式

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

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