开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

临江仙 · 2023年09月03日

如果用画图法,如何求coupon折现的pvc

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.

coupon折现到Now,用哪个折现率?是rf还是yield?

1 个答案
已采纳答案

李坏_品职助教 · 2023年09月03日

嗨,努力学习的PZer你好:


题目求得是future price,所以折现都是用risk-free rate 1.5%。


这个题目不建议用画图,债券期货可以直接套用公式计算:

先求出F(T)=S0×(1+rf)^T - AI_T - FVC,

再用F(T) / CF即可得到最后的Quoted Future price。

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 308

    浏览
相关问题

NO.PZ2023020101000011 问题如下 They move to valuation of a bonfuturescontraemployeShero. Parisi provis Curry with the followinginformation for a Treasury bonancalculates the priof a futures contraonthis bon The bonha favalue of $100,000, pays a 7% semiannucoupon,anmatures in 15 years. The bonis price$156,000, hno accruenterest, anyiel 2.5%. The futures contraexpires in 8 months, antheannualizerisk-free rate is 1.5%. There are multiple liverable bon, antheconversion factor for this bonis 1.098.Baseon the information provibyParisi, whiof the following correctly calculates the futures priof theTreasury bon 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. Thefutures priis calculatefollows:f 0 ( T )= 1 /CF( T ) { FV[ B 0 ( T+Y )+A I 0]−A I T −FVC I 0,T } Thereis no accrueinterest, but the bonpays a $3,500 coupon in 6 months, so thefuture value of the coupon expiration will $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.协会教材在这里写的有矛盾,参见下面两个公式,一个是需要调整AIT,但是另一个又不需要进行调整。根据它的题目来看就是如果是根据标的资产的价格去求FP,那就不要减去AIT,但是如果要求QFP,就还需要减去AIT之后做转换. 这道题用画图法怎么计算呢?

2024-11-04 10:46 1 · 回答

NO.PZ2023020101000011 问题如下 They move to valuation of a bonfuturescontraemployeShero. Parisi provis Curry with the followinginformation for a Treasury bonancalculates the priof a futures contraonthis bon The bonha favalue of $100,000, pays a 7% semiannucoupon,anmatures in 15 years. The bonis price$156,000, hno accruenterest, anyiel 2.5%. The futures contraexpires in 8 months, antheannualizerisk-free rate is 1.5%. There are multiple liverable bon, antheconversion factor for this bonis 1.098.Baseon the information provibyParisi, whiof the following correctly calculates the futures priof theTreasury bon 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. Thefutures priis calculatefollows:f 0 ( T )= 1 /CF( T ) { FV[ B 0 ( T+Y )+A I 0]−A I T −FVC I 0,T } Thereis no accrueinterest, but the bonpays a $3,500 coupon in 6 months, so thefuture value of the coupon expiration will $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.协会教材在这里写的有矛盾,参见下面两个公式,一个是需要调整AIT,但是另一个又不需要进行调整。根据它的题目来看就是如果是根据标的资产的价格去求FP,那就不要减去AIT,但是如果要求QFP,就还需要减去AIT之后做转换. 老师,这道题为什么是2/12么?为什么它这个FP期权签约的时候是t=0,不是其他月份呢? 例如3月签FP,债券是半年发一次,6时发copon,11月FP到期,那就不是2/12? 我理解这道题求的FP,那为什么是乘以1/CF呢?

2024-08-06 21:13 1 · 回答

NO.PZ2023020101000011 问题如下 They move to valuation of a bonfuturescontraemployeShero. Parisi provis Curry with the followinginformation for a Treasury bonancalculates the priof a futures contraonthis bon The bonha favalue of $100,000, pays a 7% semiannucoupon,anmatures in 15 years. The bonis price$156,000, hno accruenterest, anyiel 2.5%. The futures contraexpires in 8 months, antheannualizerisk-free rate is 1.5%. There are multiple liverable bon, antheconversion factor for this bonis 1.098.Baseon the information provibyParisi, whiof the following correctly calculates the futures priof theTreasury bon 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. Thefutures priis calculatefollows:f 0 ( T )= 1 /CF( T ) { FV[ B 0 ( T+Y )+A I 0]−A I T −FVC I 0,T } Thereis no accrueinterest, but the bonpays a $3,500 coupon in 6 months, so thefuture value of the coupon expiration will $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.协会教材在这里写的有矛盾,参见下面两个公式,一个是需要调整AIT,但是另一个又不需要进行调整。根据它的题目来看就是如果是根据标的资产的价格去求FP,那就不要减去AIT,但是如果要求QFP,就还需要减去AIT之后做转换. The bonis price$156,000, hno accrueinterest, anyiel 2.5%

2024-06-15 12:36 1 · 回答

NO.PZ2023020101000011 问题如下 They move to valuation of a bonfuturescontraemployeShero. Parisi provis Curry with the followinginformation for a Treasury bonancalculates the priof a futures contraonthis bon The bonha favalue of $100,000, pays a 7% semiannucoupon,anmatures in 15 years. The bonis price$156,000, hno accruenterest, anyiel 2.5%. The futures contraexpires in 8 months, antheannualizerisk-free rate is 1.5%. There are multiple liverable bon, antheconversion factor for this bonis 1.098.Baseon the information provibyParisi, whiof the following correctly calculates the futures priof theTreasury bon 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. Thefutures priis calculatefollows:f 0 ( T )= 1 /CF( T ) { FV[ B 0 ( T+Y )+A I 0]−A I T −FVC I 0,T } Thereis no accrueinterest, but the bonpays a $3,500 coupon in 6 months, so thefuture value of the coupon expiration will $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. 没有计算AI(T)没有告知Futures开始的时间全都是靠瞎猜哪个答案是对的……

2024-04-24 16:01 1 · 回答

NO.PZ2023020101000011 问题如下 They move to valuation of a bonfuturescontraemployeShero. Parisi provis Curry with the followinginformation for a Treasury bonancalculates the priof a futures contraonthis bon The bonha favalue of $100,000, pays a 7% semiannucoupon,anmatures in 15 years. The bonis price$156,000, hno accruenterest, anyiel 2.5%. The futures contraexpires in 8 months, antheannualizerisk-free rate is 1.5%. There are multiple liverable bon, antheconversion factor for this bonis 1.098.Baseon the information provibyParisi, whiof the following correctly calculates the futures priof theTreasury bon 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. Thefutures priis calculatefollows:f 0 ( T )= 1 /CF( T ) { FV[ B 0 ( T+Y )+A I 0]−A I T −FVC I 0,T } Thereis no accrueinterest, but the bonpays a $3,500 coupon in 6 months, so thefuture value of the coupon expiration will $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. 您好在这题我不太明白coupon的2/12这个时点而且还说35*(1.015)^ 2/12,甚至有点没读懂这个条件为啥用的1000*7%/2而不是用1650我还不太明白题目里yiel然没啥用但是疑惑,

2024-01-31 23:13 2 · 回答