怎么能看出来Coupon=0的？

NO.PZ202108100100000101问题如下 Baseon Exhibit 1 anassuming annucompounng, the arbitrage profit on the bonfutures contrais closest to: A.0.4158.B.0.5356C.0.6195 B is correct. The no-arbitrage futures priis equto the following:F0 = FV[+ AI0 – PVCI] F0 = (1 + 0.003)0.25(112.00 + 0.08 – 0) = 112.1640.The austepriof the futures contrais equto the conversion factor multipliethe quotefutures price:F0 = × Q0 F0 = (0.90)(125) = 112.50Aing the accrueinterest of 0.20 in three months (futures contraexpiration) to the austepriof the futures contragives a tot priof 112.70.This fferenmeans ththe futures contrais overprice112.70 – 112.1640 = 0.5360. The available arbitrage profit is the present value of this fference: 0.5360/(1.003)0.25 = 0.5356.中文解析本题考察的是长期国债期货的套利过程。关于长期期货合约，注意Q0作为报价但不是成交的报价，F0 是成交的报价。本题中，首先我们需要判断市场上的长期国债期货合约的报价是否合理。根据公式F0 = FV[+ AI0 – PVCI] 计算出合理的报价为112.1640；而此时市场上期货合约可以成交的报价为F0 = × Q0 =112.50；显然市场上的期货合约定价过高了，因此如果执行套利操作，需要short futures，对应的应该long 现货。于是在T时刻，我们的套利空间为[F0 +AIT] - [(S0 +AI0 )(1+rf)T]=112.50+0.20 -112.1640=0.5360；折现至0时刻，则套利产生的profit= 0.5360/(1.003)0.25 = 0.5356. 不是应该除以e来复利折现吗？

NO.PZ202108100100000101 问题如下 nalTroubaur is a rivatives trar for Southern Shores Investments. The firm seeks arbitrage opportunities in the forwaranfutures markets using the carry arbitrage mol.Troubaur intifies arbitrage opportunity relating to a fixeincome futures contraanits unrlying bon Current ta on the futures contraanunrlying bonare presentein Exhibit 1. The current annucompounrisk-free rate is 0.30%.Troubaur next gathers information on a Japanese equity inx futures contract, the Nikkei 225 Futures Contract:Troubaur hol a long position in a Nikkei 225 futures contrathha remaining maturity of three months. The continuously compounvinyielon the Nikkei 225 StoInx is 1.1%, anthe current stoinx level is 16,080. The continuously compounannuinterest rate is 0.2996%.Troubaur next consirs equity forwarcontrafor TexSteel, In(TSI). Information regarng TSI common shares ana TSI equity forwarcontrais presentein Exhibit 2.Troubaur takes a short position in the TSI equity forwarcontract. His supervisor asks, “Unr whiscenario woulour position experiena loss?”Three months after contrainitiation, Troubaur gathers information on TSI anthe risk-free rate, whiis presentein Exhibit 3. Baseon Exhibit 1 anassuming annucompounng, the arbitrage profit on the bonfutures contrais closest to: A.0.4158. B.0.5356 C.0.6195 B is correct. The no-arbitrage futures priis equto the following:F0 = FV[+ AI0 – PVCI] F0 = (1 + 0.003)0.25(112.00 + 0.08 – 0) = 112.1640.The austepriof the futures contrais equto the conversion factor multipliethe quotefutures price:F0 = × Q0 F0 = (0.90)(125) = 112.50Aing the accrueinterest of 0.20 in three months (futures contraexpiration) to the austepriof the futures contragives a tot priof 112.70.This fferenmeans ththe futures contrais overprice112.70 – 112.1640 = 0.5360. The available arbitrage profit is the present value of this fference: 0.5360/(1.003)0.25 = 0.5356.中文解析本题考察的是长期国债期货的套利过程。关于长期期货合约，注意Q0作为报价但不是成交的报价，F0 是成交的报价。本题中，首先我们需要判断市场上的长期国债期货合约的报价是否合理。根据公式F0 = FV[+ AI0 – PVCI] 计算出合理的报价为112.1640；而此时市场上期货合约可以成交的报价为F0 = × Q0 =112.50；显然市场上的期货合约定价过高了，因此如果执行套利操作，需要short futures，对应的应该long 现货。于是在T时刻，我们的套利空间为[F0 +AIT] - [(S0 +AI0 )(1+rf)T]=112.50+0.20 -112.1640=0.5360；折现至0时刻，则套利产生的profit= 0.5360/(1.003)0.25 = 0.5356. 我是直接用QFP算的，结果选错了，想问下用FP计算的原理

NO.PZ202108100100000101 问题如下 Baseon Exhibit 1 anassuming annucompounng, the arbitrage profit on the bonfutures contrais closest to: A.0.4158. B.0.5356 C.0.6195 B is correct. The no-arbitrage futures priis equto the following:F0 = FV[+ AI0 – PVCI] F0 = (1 + 0.003)0.25(112.00 + 0.08 – 0) = 112.1640.The austepriof the futures contrais equto the conversion factor multipliethe quotefutures price:F0 = × Q0 F0 = (0.90)(125) = 112.50Aing the accrueinterest of 0.20 in three months (futures contraexpiration) to the austepriof the futures contragives a tot priof 112.70.This fferenmeans ththe futures contrais overprice112.70 – 112.1640 = 0.5360. The available arbitrage profit is the present value of this fference: 0.5360/(1.003)0.25 = 0.5356.中文解析本题考察的是长期国债期货的套利过程。关于长期期货合约，注意Q0作为报价但不是成交的报价，F0 是成交的报价。本题中，首先我们需要判断市场上的长期国债期货合约的报价是否合理。根据公式F0 = FV[+ AI0 – PVCI] 计算出合理的报价为112.1640；而此时市场上期货合约可以成交的报价为F0 = × Q0 =112.50；显然市场上的期货合约定价过高了，因此如果执行套利操作，需要short futures，对应的应该long 现货。于是在T时刻，我们的套利空间为[F0 +AIT] - [(S0 +AI0 )(1+rf)T]=112.50+0.20 -112.1640=0.5360；折现至0时刻，则套利产生的profit= 0.5360/(1.003)0.25 = 0.5356. 是不是再不确定的情况，只能试着做个一个FP和bon组合先，判断大小然后再做向上和向下箭头分析。

NO.PZ202108100100000101 问题如下 Baseon Exhibit 1 anassuming annucompounng, the arbitrage profit on the bonfutures contrais closest to: A.0.4158. B.0.5356 C.0.6195 B is correct. The no-arbitrage futures priis equto the following:F0 = FV[+ AI0 – PVCI] F0 = (1 + 0.003)0.25(112.00 + 0.08 – 0) = 112.1640.The austepriof the futures contrais equto the conversion factor multipliethe quotefutures price:F0 = × Q0 F0 = (0.90)(125) = 112.50Aing the accrueinterest of 0.20 in three months (futures contraexpiration) to the austepriof the futures contragives a tot priof 112.70.This fferenmeans ththe futures contrais overprice112.70 – 112.1640 = 0.5360. The available arbitrage profit is the present value of this fference: 0.5360/(1.003)0.25 = 0.5356.中文解析本题考察的是长期国债期货的套利过程。关于长期期货合约，注意Q0作为报价但不是成交的报价，F0 是成交的报价。本题中，首先我们需要判断市场上的长期国债期货合约的报价是否合理。根据公式F0 = FV[+ AI0 – PVCI] 计算出合理的报价为112.1640；而此时市场上期货合约可以成交的报价为F0 = × Q0 =112.50；显然市场上的期货合约定价过高了，因此如果执行套利操作，需要short futures，对应的应该long 现货。于是在T时刻，我们的套利空间为[F0 +AIT] - [(S0 +AI0 )(1+rf)T]=112.50+0.20 -112.1640=0.5360；折现至0时刻，则套利产生的profit= 0.5360/(1.003)0.25 = 0.5356. 我一开始是算出T时刻的套利空间112.7-112.164=0.536，发现没有答案所以就猜题目是要我们折现算0时刻的套利空间。我的疑问是，如何得知题目是在问0时刻还是T时刻的套利空间？