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一凡007 · 2024年08月05日

这句话怎么理解？

  1. FRM I
  2. Financial Markets And Products

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.

settlement指什么？




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1 个答案

李坏_品职助教 · 2024年08月05日

嗨，爱思考的PZer你好：


settlement这个单词是结算的意思。


这句话的意思是，从债券交易结算那一天（就是现在），到下一次支付票面利息的那一天，这之间有90天的时间。

这句话是为了让你计算accrued interest = 30 * (90/180) = 15


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NO.PZ2023091802000090 问题如下 A $1,000 pcorporate boncarries a coupon rate of 6%, payscoupons semiannually, anhten coupon payments remaining to maturity. Marketrates are currently 5%. There are 90 ys between settlement anthe nextcoupon payment. The rty ancleprices of the bon respectively, areclosest to: A.$1,043.76, $1,013.76 B.$1,043.76, $1,028.76 C.$1,056.73, $1,041.73 $1,069.70, $1,054.70 The rty priof the bon90 ys ago is calculateN = 10, I/Y= 2.5, PMT = 30, FV = 1,000; CPT→PV = 1,043.76. Austing the PV for the factththere are only 90 ys until the receipt of the first coupon, then therty prinow is 1,043.76 × 1.025(90/180) = 1056.73. Clepri=rty pri– accrueinterest = 1056.73 – 30 × (90/180) = 1041.73. 老师好。讲义里面有一道差不多的例题当时也没太听明白。折线到couponte = 1043.76 这一步能跟上但为什么settlement te 的try pri= 1043*（1+5%/2)^(2*90/360)呢。往前继续折现不是应该用1043.76/（[1+5%/2)^(2*90/360)]吗？

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