问题如下:
A bond that can be delivered in the December 2018 ten-year Treasury note futures contract is a bond with maturity on April 15, 2026, that pays a coupon of 4% per annum.When the yield is 6%, calculate the conversion factor for the bond.
选项:
解释:
The bond's time to maturity on the first day of the delivery months is seven years (December 2018 to December 2025) and 4.5 months (January 2026 to mid-April 2026).This is rounded to seven years and three months. The dirty price of a seven year and three-month bond immediately before the coupon payable in three months is
when the yield is 6%. The dirty price of the bond three months earlier is
Subtracting the accrued interest of 1, we get a clean price of 88.3732 and the conversion factor is 0.8837.
答案第二步:90.7039/根号下1.03
为什么是除以根号下1.03啊?不太懂,求解答