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.
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?