问题如下图：这道题我不是很懂为什么F0要加AI0 但是FPt却不加AIt?
另外 - 我能把所有现金流转到t=0算吗？
选项：
A. 
B. 
C. 
解释：
包包_品职助教 · 2019年03月15日
同学你好，因为我们现在比较的是无套利公式算出来的future price和市场上的future price，看看两者是否相等。因为市场上的future price 的报价是不含AI的，所以我们通过无套利公式计算出来的future price 也应该是不含AI的，两者才能比较。
而我们在通过无套利公式计算future price的时候，0时刻和期末都是要加上AI，而且这里不是给F0加AI0 ，而是给S0加AI0. 这样才能考虑到所有的现金流。
总结来说，就是在计算future price的时候，我们需要加上起初和期末的AI，而在比较市场上的future price和no arbitrage future price的时候，AIt是不考虑进去的。
另外可以把所有现金流转到t=0算，你写的公式是正确的。
NO.PZ2019010402000001 问题如下 A trar is looking for arbitrage opportunity relating to a bonfutures baseon following information: Quotefutures price=103 Conversion factor=1.02 One month remaining to expiration, no coupon ring this perio Quotebonprice=108 AI0=0.1 AIT=0.15 Annucompounrisk-free rate=0.2%The arbitrage profit is closest to: A.0.8965 B.2.9075 C.1.3253 B is correct.考点fixeincome futures定价解析:No-arbitrage futures price:F0(T) =(108+0.1) (1 + 0.002)1/12-0.15=107.968市场中的futures price=quotefutures pri* CF=103*1.02=105.06arbitrage profit应该是两个futures price之差的现值所以arbitrage profit= (107.968−105.06)(1+0.2%)1/12=2.9075\frac{(107.968-105.06)}{{(1+0.2\%)}^{1/12}}=2.9075(1+0.2%)1/12(107.968−105.06)=2.9075求No-arbitrage futures price画图:（该题合约期间没有coupon，所以PVC=0) 能否下题目中每个条件分别代表具体什么意思?
NO.PZ2019010402000001 问题如下 A trar is looking for arbitrage opportunity relating to a bonfutures baseon following information: Quotefutures price=103 Conversion factor=1.02 One month remaining to expiration, no coupon ring this perio Quotebonprice=108 AI0=0.1 AIT=0.15 Annucompounrisk-free rate=0.2%The arbitrage profit is closest to: A.0.8965 B.2.9075 C.1.3253 B is correct.考点fixeincome futures定价解析:No-arbitrage futures price:F0(T) =(108+0.1) (1 + 0.002)1/12-0.15=107.968市场中的futures price=quotefutures pri* CF=103*1.02=105.06arbitrage profit应该是两个futures price之差的现值所以arbitrage profit= (107.968−105.06)(1+0.2%)1/12=2.9075\frac{(107.968-105.06)}{{(1+0.2\%)}^{1/12}}=2.9075(1+0.2%)1/12(107.968−105.06)=2.9075求No-arbitrage futures price画图:（该题合约期间没有coupon，所以PVC=0) 为什么不用自然对数折现
NO.PZ2019010402000001 问题如下 A trar is looking for arbitrage opportunity relating to a bonfutures baseon following information: Quotefutures price=103 Conversion factor=1.02 One month remaining to expiration, no coupon ring this perio Quotebonprice=108 AI0=0.1 AIT=0.15 Annucompounrisk-free rate=0.2%The arbitrage profit is closest to: A.0.8965 B.2.9075 C.1.3253 B is correct.考点fixeincome futures定价解析:No-arbitrage futures price:F0(T) =(108+0.1) (1 + 0.002)1/12-0.15=107.968市场中的futures price=quotefutures pri* CF=103*1.02=105.06arbitrage profit应该是两个futures price之差的现值所以arbitrage profit= (107.968−105.06)(1+0.2%)1/12=2.9075\frac{(107.968-105.06)}{{(1+0.2\%)}^{1/12}}=2.9075(1+0.2%)1/12(107.968−105.06)=2.9075求No-arbitrage futures price画图:（该题合约期间没有coupon，所以PVC=0) 我根据解析中画图法算出来FP=102.9672，和103*1.02轧差后是2.09
NO.PZ2019010402000001 问题如下 A trar is looking for arbitrage opportunity relating to a bonfutures baseon following information: Quotefutures price=103 Conversion factor=1.02 One month remaining to expiration, no coupon ring this perio Quotebonprice=108 AI0=0.1 AIT=0.15 Annucompounrisk-free rate=0.2%The arbitrage profit is closest to: A.0.8965 B.2.9075 C.1.3253 B is correct.考点fixeincome futures定价解析:No-arbitrage futures price:F0(T) =(108+0.1) (1 + 0.002)1/12-0.15=107.968市场中的futures price=quotefutures pri* CF=103*1.02=105.06arbitrage profit应该是两个futures price之差的现值所以arbitrage profit= (107.968−105.06)(1+0.2%)1/12=2.9075\frac{(107.968-105.06)}{{(1+0.2\%)}^{1/12}}=2.9075(1+0.2%)1/12(107.968−105.06)=2.9075求No-arbitrage futures price画图:（该题合约期间没有coupon，所以PVC=0) 如题
NO.PZ2019010402000001 问题如下 A trar is looking for arbitrage opportunity relating to a bonfutures baseon following information: Quotefutures price=103 Conversion factor=1.02 One month remaining to expiration, no coupon ring this perio Quotebonprice=108 AI0=0.1 AIT=0.15 Annucompounrisk-free rate=0.2%The arbitrage profit is closest to: A.0.8965 B.2.9075 C.1.3253 B is correct.考点fixeincome futures定价解析:No-arbitrage futures price:F0(T) =(108+0.1) (1 + 0.002)1/12-0.15=107.968市场中的futures price=quotefutures pri* CF=103*1.02=105.06arbitrage profit应该是两个futures price之差的现值所以arbitrage profit= (107.968−105.06)(1+0.2%)1/12=2.9075\frac{(107.968-105.06)}{{(1+0.2\%)}^{1/12}}=2.9075(1+0.2%)1/12(107.968−105.06)=2.9075求No-arbitrage futures price画图:（该题合约期间没有coupon，所以PVC=0) 请问解答中arbitrage profit为什么要折现呢？