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明明要加油 · 2023年09月30日

请问两个问题

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.

第一个:这道题问的是 future price ,实际答案给的是Quoted Future price,真题会是这样模糊的问法么?

第二个:给出了债券价格156000后,还给了一个yield 2.5%,请问这个2.5%是什么意思?


以上两个问题,请老师回答

1 个答案

李坏_品职助教 · 2023年09月30日

嗨,从没放弃的小努力你好:


本题是很久之前的mock,在新的题目和真题中会明确指出需要计算的是报价合约价格(quoted futures price)还是未来合约价格(futures price)。

本题题目和答案都不够严谨,混淆了FT和QFT,同学把本题当作对此知识点的强化训练即可。


2.5%是Bond的到期收益率(yield-to-maturity),在本题计算FP的过程中属于干扰项,用不到。

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加油吧,让我们一起遇见更好的自己!

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