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shashankar · 2023年12月07日

课后作业

NO.PZ2019052801000038

问题如下:

The price of a bond is $1,058, it has a coupon payment of $30 every six mouths, the last payment is three mouths ago. The continuous interest rate is 5%. Calculate the forward price of a 6-month forward contract on this bond:

选项:

A.

$998.72.

B.

$1,032.21.

C.

$1,067.24.

D.

$1054.41.

解释:

D is correct.

考点:远期合约定价

解析:

PVD0=30e0.05×0.25=29.6273PVD_0=30e^{-0.05\times0.25}=29.6273\\

FP  =  (S0PVD0)erT=(105829.6273)e0.05×0.5=1054.41FP\;=\;(S_0-PVD_0)e^{rT}=(1058-29.6273)e^{0.05\times0.5}=1054.41


The price of a bond is $1,058, it has a coupon payment of $30 every six mouths, the last payment is three mouths ago. The continuous interest rate is 5%. Calculate the forward price of a 6-month forward contract on this bond:


问题:为什么coupon折现不用0.05/2,而是用0.05/4,我理解就是折现半年啊,怎么会0.05/4呢?不理解

2 个答案

pzqa27 · 2023年12月08日

嗨,从没放弃的小努力你好:


对,如果题目说了具体的coupon支付时间,请按题目给的时间来折现。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

pzqa27 · 2023年12月08日

嗨,爱思考的PZer你好:


coupon题目说了每半年支付一次,上一次支付是在3个月前,那么下一次支付是在3个月后,所以把3个月后的coupon折现到现在,折现期就是3个月,即0.25年。

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加油吧,让我们一起遇见更好的自己!

shashankar · 2023年12月08日

之前课程里面没有说明何时支付的coupon,我看都是按照T时间折现的,这道题明确说了支付coupon的时间,折现的时候是不是就要按照实际时间,不能按照T时间即6个月折现,是这么理解的吗?

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