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lcrcp3 · 2023年10月07日

如题

  1. CFA II
  2. Derivative

NO.PZ2023041003000017

问题如下：

Kemper’s second investment idea is to purchase a 10-year Treasury note futures contract. The underlying 2%, semi-annual 10-year Treasury note has a dirty price of 104.17. It has been 30 days since the 10-year Treasury note’s last coupon payment. The futures contract expires in 90 days. The quoted futures contract price is 129. The current annualized three-month risk-free rate is 1.65%. The conversion factor is 0.7025. Doyle asks Kemper to calculate the equilibrium quoted futures contract price based on the carry arbitrage model.

The equilibrium 10-year Treasury note quoted futures contract price is closest to:

选项：

A.

147.94.

B.

148.89.

C.

149.78.

解释：

The equilibrium 10-year quoted futures contract price based on the carry arbitrage model is calculated as：


CF = 0.7025

B0 = 104.00

AI0 = 0.17

AIT = (120/180×0.02/2) = 0.67

FVCI = 0


1.题目给的129和要求的那个数不都是QFP吗，有什么不一样

2.难道PVC0一般就是0？我还以为先用129反求PVC0，再求新的QFP了，要是PVC0不是0的话题目怎么给条件？

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已采纳答案

李坏_品职助教 · 2023年10月08日

嗨，从没放弃的小努力你好：


129是市场上的实际报价，让你求的是equilibrium futures  quoted contract price，是理论上的均衡报价。理论上的均衡报价是按照公式求出来的理论值。


这道题说距离上次支付利息过去了30天，还剩90天期货合约就到期了。在这剩余的90天内是没有coupon支付的（债券coupon半年付一次，所以是每隔180天支付一次coupon）。如果题目改为：距离到期日还剩170天，那么在剩余的170天之内还包含一次coupon，那么PVC0就不是0了。

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

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