NO.PZ2023120801000054
问题如下：
A fixed-income portfolio manager is looking to value a one-year US dollar– denominated floating-rate note that has quarterly payments based on 90-day MRR plus 80 bps. Assume the following information:
- 90-Day MRR: 2.5%
- Quoted Margin: 80 bps
- Discount Margin: 100 bps
- Face Value: USD100
选项：
A.98.804
99.804
100.804
解释：
Correct Answer: B
The periodic PMT is equal to: (0.025+0.008)×100/4 = 0.825
The assumed discount rate per period is equal to 0.875%. r = (0.025+0.01)/4 = 0.00875
最后一期的CF（FV），为什么有时候计算是用par value，这里却还要加上coupon payment？
