开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

wuzx · 2021年09月11日

第一步的公式是什么意思

NO.PZ2020021204000034

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% per annum(with semi-annual compounding) , calculate the conversion factor for the bond.


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

i=01421.03i+1001.0314=90.7039\sum_{i=0}^{14}\frac2{1.03^i}+\frac{100}{1.03^{14}}=90.7039

when the yield is 6%. The dirty price of the bond three months earlier is

90.70391.03=89.3732\frac{90.7039}{\sqrt{1.03}}=89.3732

Subtracting the accrued interest of 1, we get a clean price of 88.3732 and the conversion factor is 0.8837.

第一步公式计算里的i是什么意思
1 个答案

DD仔_品职助教 · 2021年09月11日

嗨,从没放弃的小努力你好:


同学你好~

这里的i指的是有多少期,i的赋值从0开始一直到14.

他这里写的是一个简化的式子,这个债券从2018年12月到2026年4月还有大概7年零3个月到期,付息日是每年的4月和10月,我们这个式子求的是2019年4月刚好在付息日前这一时刻的价格=2+2/(1+3%)^2+2/(1+3%)^3+....+2/(1+3%)^14+100/(1+3%)^14=90.7039

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 1

    回答
  • 0

    关注
  • 405

    浏览
相关问题

NO.PZ2020021204000034 问题如下 A bonthcliverein the cember 2018 ten-yeTreasury note futures contrais a bonwith maturity on April 15, 2026, thpays a coupon of 4% per annum.When the yielis 6% per annum(with semi-annucompounng) , calculate the conversion factor for the bon The bons time to maturity on the first y of the livery months is seven years (cember 2018 to cember 2025) an4.5 months (January 2026 to miApril 2026).This is rounto seven years anthree months. The rty priof a seven yeanthree-month bonimmeately before the coupon payable in three months is ∑i=01421.03i+1001.0314=90.7039\sum_{i=0}^{14}\frac2{1.03^i}+\frac{100}{1.03^{14}}=90.7039∑i=014​1.03i2​+1.0314100​=90.7039when the yielis 6%. The rty priof the bonthree months earlier is90.70391.03=89.3732\frac{90.7039}{\sqrt{1.03}}=89.37321.03​90.7039​=89.3732Subtracting the accrueinterest of 1, we get a clepriof 88.3732 anthe conversion factor is 0.8837. 10年债券,到期日是2026年4月15,起始日是2016年4月25?每半年付息一次,那在livery te,也就是2018年12月的时候,上一次付息是在2018年10月15日?那应计利息应该是2018年10月15日到2018年12月?为什么答案说是18年12月到19年4月之间的利息?

2024-11-07 11:00 3 · 回答

NO.PZ2020021204000034 问题如下 A bonthcliverein the cember 2018 ten-yeTreasury note futures contrais a bonwith maturity on April 15, 2026, thpays a coupon of 4% per annum.When the yielis 6% per annum(with semi-annucompounng) , calculate the conversion factor for the bon The bons time to maturity on the first y of the livery months is seven years (cember 2018 to cember 2025) an4.5 months (January 2026 to miApril 2026).This is rounto seven years anthree months. The rty priof a seven yeanthree-month bonimmeately before the coupon payable in three months is ∑i=01421.03i+1001.0314=90.7039\sum_{i=0}^{14}\frac2{1.03^i}+\frac{100}{1.03^{14}}=90.7039∑i=014​1.03i2​+1.0314100​=90.7039when the yielis 6%. The rty priof the bonthree months earlier is90.70391.03=89.3732\frac{90.7039}{\sqrt{1.03}}=89.37321.03​90.7039​=89.3732Subtracting the accrueinterest of 1, we get a clepriof 88.3732 anthe conversion factor is 0.8837. 没有精确的给4月x/10月x日付利息,导致算那个AI=1的时候比较抽象,想了半天,考试的时候是不是会给精确的能在计算器用日期公式算天数的呀

2024-11-04 23:47 1 · 回答

NO.PZ2020021204000034问题如下 A bonthcliverein the cember 2018 ten-yeTreasury note futures contrais a bonwith maturity on April 15, 2026, thpays a coupon of 4% per annum.When the yielis 6% per annum(with semi-annucompounng) , calculate the conversion factor for the bon The bons time to maturity on the first y of the livery months is seven years (cember 2018 to cember 2025) an4.5 months (January 2026 to miApril 2026).This is rounto seven years anthree months. The rty priof a seven yeanthree-month bonimmeately before the coupon payable in three months is ∑i=01421.03i+1001.0314=90.7039\sum_{i=0}^{14}\frac2{1.03^i}+\frac{100}{1.03^{14}}=90.7039∑i=014​1.03i2​+1.0314100​=90.7039when the yielis 6%. The rty priof the bonthree months earlier is90.70391.03=89.3732\frac{90.7039}{\sqrt{1.03}}=89.37321.03​90.7039​=89.3732Subtracting the accrueinterest of 1, we get a clepriof 88.3732 anthe conversion factor is 0.8837.1、这里写的coupon是每年,但是和半年复利矛盾啊?看解题的答案也是半年一次coupon和复利频次一样,老师,coupon的现金流频次是要和复利频次一样的吧?2、题目哪里能看出是每年10月,4月支付coupon?3、应计利息是1,是怎么得出来的?

2024-06-12 21:57 5 · 回答

NO.PZ2020021204000034问题如下 A bonthcliverein the cember 2018 ten-yeTreasury note futures contrais a bonwith maturity on April 15, 2026, thpays a coupon of 4% per annum.When the yielis 6% per annum(with semi-annucompounng) , calculate the conversion factor for the bon The bons time to maturity on the first y of the livery months is seven years (cember 2018 to cember 2025) an4.5 months (January 2026 to miApril 2026).This is rounto seven years anthree months. The rty priof a seven yeanthree-month bonimmeately before the coupon payable in three months is ∑i=01421.03i+1001.0314=90.7039\sum_{i=0}^{14}\frac2{1.03^i}+\frac{100}{1.03^{14}}=90.7039∑i=014​1.03i2​+1.0314100​=90.7039when the yielis 6%. The rty priof the bonthree months earlier is90.70391.03=89.3732\frac{90.7039}{\sqrt{1.03}}=89.37321.03​90.7039​=89.3732Subtracting the accrueinterest of 1, we get a clepriof 88.3732 anthe conversion factor is 0.8837.烦请具体写下该类题怎么解答,多谢。

2023-04-12 16:50 2 · 回答

NO.PZ2020021204000034问题如下 A bonthcliverein the cember 2018 ten-yeTreasury note futures contrais a bonwith maturity on April 15, 2026, thpays a coupon of 4% per annum.When the yielis 6% per annum(with semi-annucompounng) , calculate the conversion factor for the bon The bons time to maturity on the first y of the livery months is seven years (cember 2018 to cember 2025) an4.5 months (January 2026 to miApril 2026).This is rounto seven years anthree months. The rty priof a seven yeanthree-month bonimmeately before the coupon payable in three months is ∑i=01421.03i+1001.0314=90.7039\sum_{i=0}^{14}\frac2{1.03^i}+\frac{100}{1.03^{14}}=90.7039∑i=014​1.03i2​+1.0314100​=90.7039when the yielis 6%. The rty priof the bonthree months earlier is90.70391.03=89.3732\frac{90.7039}{\sqrt{1.03}}=89.37321.03​90.7039​=89.3732Subtracting the accrueinterest of 1, we get a clepriof 88.3732 anthe conversion factor is 0.8837.为什么要折三个月,利息为什么是1

2023-04-04 11:15 1 · 回答