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CC · 2023年08月31日

QFP计算

NO.PZ2023020101000011

问题如下:

They move to valuation of a bond futures contract employed by Sheroda. Parisi provides Curry with the following information for a Treasury bond and calculates the price of a futures contract on this bond. The bond has a face value of $100,000, pays a 7% semiannual coupon, and matures in 15 years. The bond is priced at $156,000, has no accrued interest, and yields 2.5%. The futures contract expires in 8 months, and the annualized risk-free rate is 1.5%. There are multiple deliverable bonds, and the conversion factor for this bond is 1.098.

Based on the information provided by Parisi, which of the following correctly calculates the futures price of the Treasury bond

选项:

A.

f 0 ( T )= [ $156,000 ( 1.015 ) ( 8/ 12 ) −$3,508.6958 ] /1.098 =$140,298.21.

B.

f 0 ( T )= [ $156,000 ( 1.015 ) ( 8/ 12 ) 3,491.325 ]/ 1.098 =$140,314.03.

C.

f 0 ( T )=1.098[ $156,000 ( 1.015 ) ( 8/ 12 ) $3,508.6958 ]=$169,144.08.

解释:

The futures price is calculated as follows:

f 0 ( T )= 1 /CF( T ) { FV[ B 0 ( T+Y )+A I 0 ]A I T FVC I 0,T }

There is no accrued interest, but the bond pays a $3,500 coupon in 6 months, so the future value of the coupon at expiration will be $3,508.6958 = 3500(1.015)(2/12).

f 0 ( T )= [ $156,000 ( 1.015 ) ( 8/ 12 ) $3,508.6958 ] /1.098 =$140,298.21.

老师,这里面的在计算FVC的时候时间是6/12, 与这个FP8个月的期限,之间差这2个月,那还是FVC么?我不知道该如何问,我感觉就是差2个月,没算到完整时期啊


或是说我coupon 就是6个月发一次,你多几个月我也这么多钱,你少几个月,没赶上发放的日子,我也不给?

1 个答案

李坏_品职助教 · 2023年09月02日

嗨,从没放弃的小努力你好:


6个月之后发放3500元利息,但是期货合约到期日是8个月之后,所以期货合约到期日距离利息发放日有2个月,所以这笔利息的终值是3500×(1+1.5%)^(2/12),


这个就是FVC了。

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