NO.PZ2023091802000090
问题如下:
A $1,000 par corporate bond carries a coupon rate of 6%, pays coupons semiannually, and has ten coupon payments remaining to maturity. Market rates are currently 5%. There are 90 days between settlement and the next coupon payment. The dirty and clean prices of the bond, respectively, are closest to:
选项:
A.
$1,043.76, $1,013.76
B.
$1,043.76, $1,028.76
C.
$1,056.73, $1,041.73
D.
$1,069.70, $1,054.70
解释:
The dirty price of the bond 90 days ago is calculated as N = 10, I/Y
= 2.5, PMT = 30, FV = 1,000; CPT→PV = 1,043.76. Adjusting the PV for the fact
that there are only 90 days until the receipt of the first coupon, then the
dirty price now is 1,043.76 × 1.025(90/180) = 1056.73. Clean price =
dirty price – accrued interest = 1056.73 – 30 × (90/180) = 1041.73.
因为题目说的是semipay 为什么n不是10✖️2