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Jessica XU · 2024年05月13日

accrued interest

  1. CFA I
  2. Fixed Income

NO.PZ2023120801000040

问题如下：

Bond G, described in the exhibit below, is sold for settlement on 16 June 2014. The full price that bond G will settle at on 16 June 2014 is closest to:

Annual coupon: 5%

Coupon payment frequency: semiannual

Interest payment date: 10 April and 10 October

Maturity date: 10 October 2016

Day count convention: 30/360

Annual yield-to-maturity: 4%

选项：

A.

102.36

B.

103.10

C.

103.65

解释：

Correct Answer: B


请问这个公式对吗？ accrued interest = (t/T)*PMT, 为什么不能用4月10日的PV加上算出来的Accrued Interest得到full price

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1 个答案

吴昊_品职助教 · 2024年05月14日

嗨，从没放弃的小努力你好：


accrued interest = (t/T)*PMT，这个公式是计算AI的，没有问题。但是不适用于本题。

1、首先明确一点：102.36是4月10号的数值，这个数值既可以看成是full price，也可以看成是flat price（因为4.10是付息日，付息日当天的AI=0）。

2、如果102.36是6.16的flat price，才可以直接加上AI，即加上4.10到6.16之间的accrued intersect得到6.16的full price。时间点要对应好，不能拿着前一个时间点的flat price加上AI，得到这一时间的full price。

3、所以我们正确的思路是：将4.10的full price102.36复利到2014.6.16，得到full price为103.10。这两个数据都是full price，对应的时间点不同。

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