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台风来了 · 2023年08月15日

计算quoted price公式中的FVCI是什么意思啊？

  1. CFA II
  2. Derivative

NO.PZ2023041003000017

问题如下：

Kemper’s second investment idea is to purchase a 10-year Treasury note futures contract. The underlying 2%, semi-annual 10-year Treasury note has a dirty price of 104.17. It has been 30 days since the 10-year Treasury note’s last coupon payment. The futures contract expires in 90 days. The quoted futures contract price is 129. The current annualized three-month risk-free rate is 1.65%. The conversion factor is 0.7025. Doyle asks Kemper to calculate the equilibrium quoted futures contract price based on the carry arbitrage model.

The equilibrium 10-year Treasury note quoted futures contract price is closest to:

选项：

A.

147.94.

B.

148.89.

C.

149.78.

解释：

The equilibrium 10-year quoted futures contract price based on the carry arbitrage model is calculated as：


CF = 0.7025

B0 = 104.00

AI0 = 0.17

AIT = (120/180×0.02/2) = 0.67

FVCI = 0


老师，您好！


计算quoted price公式中的FVCI是什么意思啊？谢谢！

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1 个答案

Lucky_品职助教 · 2023年08月15日

嗨，爱思考的PZer你好：


FVCI是future value of coupon income也就是将来收到的coupon金额

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