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阿萌酱 · 2020年07月27日

问一道题：NO.PZ2016031001000071

  1. CFA I
  2. Fixed Income

问题如下：

Bond G, described in the exhibit below, is sold for settlement on 16 June 2014.

Annual Coupon                                                5%

Coupon Payment Frequency                                    Semiannual

Interest Payment Dates                                         10 April and 10 October

Maturity Date                                                  10 October 2016

Day Count Convention                                          30/360

Annual Yield-to-Maturity                                         4%

The flat price for Bond G on the settlement date of 16 June 2014 is closest to:

选项：

A.

102.18.

B.

103.10.

C.

104.02.

解释：

A is correct.

The flat price of 102.18 is determined by subtracting the accrued interest(from question 20) from the full price (from question 19).

PVFlat=PVFull−Acrrued  InterestPV^{Flat}=PV^{Full}-Acrrued\;Interest

PVFlatPV^{Flat}=103.10 - 0.92=102.18

为什么是未来五期而不是六期呢？

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1 个答案

吴昊_品职助教 · 2020年07月27日

同学你好：

站在2014年4月10日，未来还有五笔现金流，分别是2014.10.10；2015.4.10；2015.10.10；2016.4.10；2016.10.10。债券在某一时点的价值等于未来现金流折现求和，当期的coupon不是未来现金流。

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NO.PZ2016031001000071 问题如下 BonG, scribein the exhibit below, is solfor settlement on 16 June 2014.AnnuCoupon 5%Coupon Payment Frequen SemiannualInterest Payment tes 10 April an10 OctoberMaturity te 10 October 2016y Count Convention 30/360AnnuYielto-Maturity 4%The flprifor BonG on the settlement te of 16 June 2014 is closest to: A.102.18. B.103.10. C.104.02. A is correct.The flpriof 102.18 is terminesubtracting the accrueinterest(from question 20) from the full pri(from question 19).PVFlat=PVFull−Acrrue InterestPV^{Flat}=PV^{Full}-Acrrue;InterestPVFlat=PVFull−AcrruenterestPVFlatPV^{Flat}PVFlat=103.10 - 0.92=102.18考点flpri full price解析flpri= full pri- accrueinterest = 103.10 - 0.92 = 102.18，故A正确。 如题

2023-10-22 08:24 2 · 回答

NO.PZ2016031001000071问题如下BonG, scribein the exhibit below, is solfor settlement on 16 June 2014.AnnuCoupon 5%Coupon Payment Frequen SemiannualInterest Payment tes 10 April an10 OctoberMaturity te 10 October 2016y Count Convention 30/360AnnuYielto-Maturity 4%The flprifor BonG on the settlement te of 16 June 2014 is closest to:A.102.18.B.103.10.C.104.02. A is correct.The flpriof 102.18 is terminesubtracting the accrueinterest(from question 20) from the full pri(from question 19).PVFlat=PVFull−Acrrue InterestPV^{Flat}=PV^{Full}-Acrrue;InterestPVFlat=PVFull−AcrruenterestPVFlatPV^{Flat}PVFlat=103.10 - 0.92=102.18考点flpri full price解析flpri= full pri- accrueinterest = 103.10 - 0.92 = 102.18，故A正确。 老师先谢谢了。。。。。

2023-03-02 04:59 1 · 回答

NO.PZ2016031001000071 问题如下 BonG, scribein the exhibit below, is solfor settlement on 16 June 2014.AnnuCoupon 5%Coupon Payment Frequen SemiannualInterest Payment tes 10 April an10 OctoberMaturity te 10 October 2016y Count Convention 30/360AnnuYielto-Maturity 4%The flprifor BonG on the settlement te of 16 June 2014 is closest to: A.102.18. B.103.10. C.104.02. A is correct.The flpriof 102.18 is terminesubtracting the accrueinterest(from question 20) from the full pri(from question 19).PVFlat=PVFull−Acrrue InterestPV^{Flat}=PV^{Full}-Acrrue;InterestPVFlat=PVFull−AcrruenterestPVFlatPV^{Flat}PVFlat=103.10 - 0.92=102.18考点flpri full price解析flpri= full pri- accrueinterest = 103.10 - 0.92 = 102.18，故A正确。 谢谢老师！

2022-10-13 14:30 2 · 回答

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2022-04-03 10:36 1 · 回答

有没有直接求flprice的公式的呢？

2020-11-06 23:10 1 · 回答