NO.PZ2020042003000126
问题如下:
After 1 year and half the bank deals 6-month repo on this bond for a notional of 700,000 at a price of 99.9. The haircut of the bond is 15%, coupon rate 10%. What is TSECF at 1 year and half?
解释:
TSECF is equal to the price it pays to deliver the bond at inception:
700,000*(99.9%+10%*1)*(1-15%)=653,905
Cash we pay, so should be -653,905
应计利息是一年支付一次还是半年支付一次?这个应计利息是什么时候的