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曲轩宏 · 2023年09月10日

老师想问下，用画图求出4.10号的PV，然后在复利到6.16号的那个题是在算什么呀？

  1. CFA I
  2. Fixed Income

NO.PZ2016031001000070

问题如下：

Bond G, described in the exhibit below, is sold for settlement on 16 June 2014.

Annual Coupon 5%

Coupon Payment Frequency Semiannual

Interest Payment Dates 10 April and 10 October

Maturity Date 10 October 2016

Day Count Convention 30/360

Annual Yield-to-Maturity 4%

The accrued interest per 100 of par value for Bond G on the settlement date of 16 June2014 is closest to:

选项：

A.

0.46.

B.

0.73.

C.

0.92.

解释：

C is correct.

The accrued interest per 100 of par value is closest to 0.92. The accrued interest is determined in the following manner: The accrued interest period is identified as66/180. The number of days between 10 April 2014 and 16 June 2014 is 66 days based on the 30/360 day count convention. (This is 20 days remaining in April + 30 days in May +16 days in June = 66 days total). The number of days between coupon periods is assumed to be 180 days using the 30/360 day convention.

Accrued interest = tT×PMT\text{Accrued interest = }\frac tT\times PMT

where:

t = number of days from the last coupon payment to the settlement date

T = number of days in the coupon period

t/T= fraction of the coupon period that has gone by since the last payment

PMT = coupon payment per period

Accrued interest = 66180×5.002=0.92\text{Accrued interest = }\frac{66}{180}\times\frac{5.00}2\text{=}0.92

考点：accrued interest

解析：accrued interest=coupon×t/T=(5/2)×(66/180)=0.92，故选项C正确。

由于债券半年付息，所以一期的coupon是2.5。t=66，代表的是trading day和上一个付息日之间的天数，4月10号到6月16号之间是66天。T代表的就是两个付息日之间的天数，由于我们现在是30/360，所以半年天数就是180天。将上述数据代入accrued interest的公式即可。

不是accrued interest么？我有点忘记了，还是没有这个题，有的话能给这个题的链接么，教师节快乐

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1 个答案

吴昊_品职助教 · 2023年09月11日

嗨，爱思考的PZer你好：


关于“求出4.10号的PV，然后在复利到6.16号”，你可以参考题号：2016031001000069。算的是6.16号的full price。

现在这道题只需要求accrued interest，就只需要代入accrued interest公式即可。

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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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