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Sibyl · 2023年10月01日

AI的折现没看懂

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。

2 个答案

李坏_品职助教 · 2024年03月26日

嗨,从没放弃的小努力你好:


sorry,这个之前助教画的图不对,上一次coupon是60天之前支付的,下一次coupon应该是在120天支付,不是90天。

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努力的时光都是限量版,加油!

李坏_品职助教 · 2023年10月03日

嗨,从没放弃的小努力你好:


对于固定利息债券来说,AI指的是自从上次发放利息已经过的天数,除以发放利息的周期天数。并不是指到该债券到期的那一天。所以只需要考虑last payment of coupon即可,至于后面还没发放的coupon不用考虑。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!

YAO Monica · 2024年03月26日

下面的天数为什么不是60+90=150,而是180?

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