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

返回

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

添加评论
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。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 1

    回答

  • 0

    关注

  • 243

    浏览
相关问题

NO.PZ2016031001000070 问题如下 BonG, scribein the exhibit below, is solfor settlement on 16 June 2014.AnnuCoupon 5%Coupon Payment Frequen SemiannualInterest Payment tes 10 April an10 OctoberMaturity te 10 October 2016y Count Convention 30/360AnnuYielto-Maturity 4%The accrueinterest per 100 of pvalue for BonG on the settlement te of 16 June 2014 is closest to: A.0.46. B.0.73. C.0.92. C is correct.The accrueinterest per 100 of pvalue is closest to 0.92. The accrueinterest is terminein the following manner: The accrueinterest periois intifieas66/180. The number of ys between 10 April 2014 an16 June 2014 is 66 ys baseon the 30/360 y count convention. (This is 20 ys remaining in April + 30 ys in M+16 ys in June = 66 ys total). The number of ys between coupon perio is assumeto 180 ys using the 30/360 y convention.Accrueinterest = tT×PMT\text{Accrueinterest = }\frtT\times PMTAccrueinterest = Tt​×PMTwhere:t = number of ys from the last coupon payment to the settlement teT = number of ys in the coupon perio/T= fraction of the coupon periothhgone sinthe last paymentPMT = coupon payment per perioccrueinterest = 66180×5.002=0.92\text{Accrueinterest = }\frac{66}{180}\times\frac{5.00}2\text{=}0.92Accrueinterest = 18066​×25.00​=0.92考点accrueinterest解析accrueinterest=coupon×t/T=(5/2)×(66/180)=0.92，故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trang y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accrueinterest的公式即可。 accrueinterest为什么在10/4/2014-16/6/2014这段？

2024-07-23 21:59 1 · 回答

NO.PZ2016031001000070 问题如下 BonG, scribein the exhibit below, is solfor settlement on 16 June 2014.AnnuCoupon 5%Coupon Payment Frequen SemiannualInterest Payment tes 10 April an10 OctoberMaturity te 10 October 2016y Count Convention 30/360AnnuYielto-Maturity 4%The accrueinterest per 100 of pvalue for BonG on the settlement te of 16 June 2014 is closest to: A.0.46. B.0.73. C.0.92. C is correct.The accrueinterest per 100 of pvalue is closest to 0.92. The accrueinterest is terminein the following manner: The accrueinterest periois intifieas66/180. The number of ys between 10 April 2014 an16 June 2014 is 66 ys baseon the 30/360 y count convention. (This is 20 ys remaining in April + 30 ys in M+16 ys in June = 66 ys total). The number of ys between coupon perio is assumeto 180 ys using the 30/360 y convention.Accrueinterest = tT×PMT\text{Accrueinterest = }\frtT\times PMTAccrueinterest = Tt​×PMTwhere:t = number of ys from the last coupon payment to the settlement teT = number of ys in the coupon perio/T= fraction of the coupon periothhgone sinthe last paymentPMT = coupon payment per perioccrueinterest = 66180×5.002=0.92\text{Accrueinterest = }\frac{66}{180}\times\frac{5.00}2\text{=}0.92Accrueinterest = 18066​×25.00​=0.92考点accrueinterest解析accrueinterest=coupon×t/T=(5/2)×(66/180)=0.92，故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trang y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accrueinterest的公式即可。 老师您好，请问用计算器计算天数是怎么操作的，已经用计算器按出了起始日期，不知道如何相减。

2024-03-25 15:53 3 · 回答

NO.PZ2016031001000070问题如下 BonG, scribein the exhibit below, is solfor settlement on 16 June 2014.AnnuCoupon 5%Coupon Payment Frequen SemiannualInterest Payment tes 10 April an10 OctoberMaturity te 10 October 2016y Count Convention 30/360AnnuYielto-Maturity 4%The accrueinterest per 100 of pvalue for BonG on the settlement te of 16 June 2014 is closest to: A.0.46.B.0.73.C.0.92. C is correct.The accrueinterest per 100 of pvalue is closest to 0.92. The accrueinterest is terminein the following manner: The accrueinterest periois intifieas66/180. The number of ys between 10 April 2014 an16 June 2014 is 66 ys baseon the 30/360 y count convention. (This is 20 ys remaining in April + 30 ys in M+16 ys in June = 66 ys total). The number of ys between coupon perio is assumeto 180 ys using the 30/360 y convention.Accrueinterest = tT×PMT\text{Accrueinterest = }\frtT\times PMTAccrueinterest = Tt​×PMTwhere:t = number of ys from the last coupon payment to the settlement teT = number of ys in the coupon perio/T= fraction of the coupon periothhgone sinthe last paymentPMT = coupon payment per perioccrueinterest = 66180×5.002=0.92\text{Accrueinterest = }\frac{66}{180}\times\frac{5.00}2\text{=}0.92Accrueinterest = 18066​×25.00​=0.92考点accrueinterest解析accrueinterest=coupon×t/T=(5/2)×(66/180)=0.92，故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trang y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accrueinterest的公式即可。 为什么是减去上一个付息日的天数不是减去下一个付息日天数

2024-03-19 11:10 1 · 回答

NO.PZ2016031001000070问题如下 BonG, scribein the exhibit below, is solfor settlement on 16 June 2014.AnnuCoupon 5%Coupon Payment Frequen SemiannualInterest Payment tes 10 April an10 OctoberMaturity te 10 October 2016y Count Convention 30/360AnnuYielto-Maturity 4%The accrueinterest per 100 of pvalue for BonG on the settlement te of 16 June 2014 is closest to: A.0.46.B.0.73.C.0.92. C is correct.The accrueinterest per 100 of pvalue is closest to 0.92. The accrueinterest is terminein the following manner: The accrueinterest periois intifieas66/180. The number of ys between 10 April 2014 an16 June 2014 is 66 ys baseon the 30/360 y count convention. (This is 20 ys remaining in April + 30 ys in M+16 ys in June = 66 ys total). The number of ys between coupon perio is assumeto 180 ys using the 30/360 y convention.Accrueinterest = tT×PMT\text{Accrueinterest = }\frtT\times PMTAccrueinterest = Tt​×PMTwhere:t = number of ys from the last coupon payment to the settlement teT = number of ys in the coupon perio/T= fraction of the coupon periothhgone sinthe last paymentPMT = coupon payment per perioccrueinterest = 66180×5.002=0.92\text{Accrueinterest = }\frac{66}{180}\times\frac{5.00}2\text{=}0.92Accrueinterest = 18066​×25.00​=0.92考点accrueinterest解析accrueinterest=coupon×t/T=(5/2)×(66/180)=0.92，故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trang y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accrueinterest的公式即可。 我想再延伸下: 如果问full price是多少 怎么计算 谢谢

2024-01-31 13:41 2 · 回答

NO.PZ2016031001000070问题如下 BonG, scribein the exhibit below, is solfor settlement on 16 June 2014.AnnuCoupon 5%Coupon Payment Frequen SemiannualInterest Payment tes 10 April an10 OctoberMaturity te 10 October 2016y Count Convention 30/360AnnuYielto-Maturity 4%The accrueinterest per 100 of pvalue for BonG on the settlement te of 16 June 2014 is closest to: A.0.46.B.0.73.C.0.92. C is correct.The accrueinterest per 100 of pvalue is closest to 0.92. The accrueinterest is terminein the following manner: The accrueinterest periois intifieas66/180. The number of ys between 10 April 2014 an16 June 2014 is 66 ys baseon the 30/360 y count convention. (This is 20 ys remaining in April + 30 ys in M+16 ys in June = 66 ys total). The number of ys between coupon perio is assumeto 180 ys using the 30/360 y convention.Accrueinterest = tT×PMT\text{Accrueinterest = }\frtT\times PMTAccrueinterest = Tt​×PMTwhere:t = number of ys from the last coupon payment to the settlement teT = number of ys in the coupon perio/T= fraction of the coupon periothhgone sinthe last paymentPMT = coupon payment per perioccrueinterest = 66180×5.002=0.92\text{Accrueinterest = }\frac{66}{180}\times\frac{5.00}2\text{=}0.92Accrueinterest = 18066​×25.00​=0.92考点accrueinterest解析accrueinterest=coupon×t/T=(5/2)×(66/180)=0.92，故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trang y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accrueinterest的公式即可。 PMT到底是coupon rate还是coupon rate乘以100？

2023-12-01 10:20 1 · 回答