问题如下:
In a repo, A sells $10 million face amount
bond to B on Aug 1, at an invoice price of $11 million for 20 days. At the same
time, A agrees to repurchase that $10 million face amount bond at a purchase
price equal to the original invoice price plus interest at a repo rate of 0.20%.
According to the information above, what is the repurchase price?
选项:
A. 11.12
B. 13.21
C. 12.12
D. 13.12
解释:
考点:对Repurchase Agreements的理解
答案:A
解析:
11 × (1 + 0.20%×20/360)=11.12
请问这个计算没问题吗?implied rate按照这个结果,应该是20%不是0.2%吧?