shihong · 2021年10月26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.
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为什么上一题是fv-1.4*「」这一题是quote+accrueinterest
