Shuangshuang · 2021年04月06日
NO.PZ2020011303000164
问题如下：
The price of a U.S. Treasury bond is quoted as 98.0. It is sold in a transaction settled on June 27. Coupons are paid at the rate of 6% per year on March 15 and September 15. What is the cash price?
解释：
There are 184 days between coupon payments and 104 days between the last coupon and the settlement date. The accrued interest is
3×104/184 =1.6957
The cash price is 98 + 1.6957 = 99.6957.
品职答疑小助手雍 · 2021年04月07日
嗨，从没放弃的小努力你好：
首先clean price就是本题quoted as的这个数。
然后加上了AI的dirty price就是本题中的cash price。
cash price和quoted price的转换就和上一题相关了。下面是原版书转换的截图。
----------------------------------------------努力的时光都是限量版，加油！
王楚溪 · 2021年07月11日
老师您好，所以这两题的区别是在于“quoted as”和“quoted”是吗？如果此题说这个T-bond的quoted price是98，那么就要用截图上面这个公式来做对吗？
NO.PZ2020011303000164 问题如下 The priof a U.S. Treasury bonis quote98.0. It is solin a transaction settleon June 27. Coupons are paithe rate of 6% per yeon Mar15 anSeptember 15. Whis the cash price? There are 184 ys between coupon payments an104 ys between the last coupon anthe settlement te. The accrueinterest is3×104/184 =1.6957The cash priis 98 + 1.6957 = 99.6957. 题目问US treasury bon价格是98，在6月27日交割，年coupon rate是6%，付息日是每年的3月15日和9月15日，求cash price是多少？付息日之间是184天，最后一次付息到交割是104天，accrueinterest=3*104/184=1.6957cash price=98+1.6957=99.6957
NO.PZ2020011303000164美国国债求AI，题目中没有说要用哪种日历算，这个时候要用actual/actual吗
