问题如下图：
选项：
A. 
B. 
C. 
解释：
老师，做对了就是有点糊涂，是否此时AIt中的t=1/12?
在做的时候纠结了很久为啥给到了ONE MONTH的时间轴，却给了AIt这个不定的时间点
这个图中的T时间点到底是不是1/12呢？
包包_品职助教 · 2019年04月12日
同学你好，图中的T时间点是1/12；
AIT说的是从上个coupon day 到T时间点累积的利息，这里的T说的是图中的1/12时刻，1/12是0时刻到T时刻的时间长度。不过AIT不是从0时刻到T时刻累积的利息，而是从上个coupon day 到T时间点累积的利息
我多说一点与题目无关的就是其实这道题我们可以推算上一个coupon day 是什么时间：
AI0=0.1，AIt=0.15，那就是一个月累积的coupon是0.05，那么AI0=0.1，说明距离上一个coupon day 是2个月，那么T距离上一个coupon day 就是三个月。
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？