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shashankar · 2023年12月07日

课后作业

  1. FRM I
  2. Financial Markets And Products

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

FP  =  (S0−PVD0)erT=(1058−29.6273)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

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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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