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台风来了 · 2023年08月15日

这是计算债券期货到期时的报价吗？

  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！

从计算公式来看，这是计算债券期货到期时的报价吗？题目中看不出来是要计算到期的报价啊。

是否可以直接从 full price = quoted price * conversion factor + AI 公式来计算 quoted price ？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：


是计算期货现在的报价（期货报的是未来的价格）

 full price = quoted price * conversion factor + AI 公式来计算 quoted price，这是计算债券的理论价格，而不是债券期货的理论价格。因为转换因子是用于将期货价格转换为对应的债券价格

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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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