NO.PZ2019010402000057
问题如下:
Aries is going to purchase a two-year Treasury notefutures contract, The underlying 1.2%, semi-annual two-year Treasury note isquoted at a clean price of 103. It has been 60 days since the last couponpayment. Aries wants to calculate the full spot price of the underlying two-yearTreasury note:
选项:
A.
103.60
B.
103.20
C.
102.80
解释:
B is correct
本题考察的是计算一个两年期国库券的价格。
S0 = Quoted bond price + Accrued interest = B0 + AI0
Accrued interest ( AI )= Accrural period ×Periodic coupon amount = (NAD/NTD)× (C/n)
AI = (60/180) × (0.012*100/2) = 0.20.
S0 = 103 + 0.20 = 103.20
按我这个图,上一次发放到settlement,应该是后面三个coupon啊 Accrued interest是指距离上一次coupon发放日到settlement date期间应得的利息。