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

返回

lily · 2021年12月24日

int

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202108100100000303

问题如下：

he equilibrium 10-year Treasury note quoted futures contract price is closestto:

选项：

A.

147.94

B.

148.89

C.

149.78

解释：

A is correct.

The equilibrium 10-year quoted futures contract price based on the carry arbitrage model is calculated as

Q0 = (1/CF) × [FV(B0 + AI0 ) − AIT − FVCI].

CF = 0.7025

B0 = 104.00

AI0 = 0.17

AIT = (120/180 × 0.02*100/2) = 0.67

FVCI = 0.

Q0 =(1/0.7025) × [(1+0.0165)(3/12) (104.17) - 0.67-0]=147.94

中文解析：

本题考察的是求无套利的远期价格Q0 。

按照上述步骤计算即可。需要注意的是在根据公式求得F0 后，要除以转换因子CF，才能得到最终的Q0。

另外，AI的计算公式为：


ai int为什么用120除180天

添加评论
2 个答案

Lucky_品职助教 · 2022年09月13日

嗨，从没放弃的小努力你好：


Accrued interest是指距离上一次coupon发放日到settlement date期间应得的利息。上一次发放是30天前，合约结束还有90天，Coupon每半年发一次，因此AIT按照120/180计算。合约估值是未来现金流折现，到了T时刻，这个合约的价值包含这样一笔应得的利息，所以要算进合约的价值，对手方在交割得到这个债券后，在下一个coupon支付日，是可以拿到coupon的。

我们可以把流通期间的债券理解为怀孕的母狗，如果买卖母狗(bond)，小狗(interest)的价值也会一直被算进母狗的价值里，但目前拥有母狗的人，还没有真的得到小狗，所以叫accrued(interest)。

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

lynn_品职助教 · 2021年12月24日

嗨，努力学习的PZer你好：


根据AI的公式，# of days from last coupon to the settlement date, 距离上次发放c的天数为30+90=120天，所以分子是120，分母就是coupon 发放周期，为半年，即180天。

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

Qqnd · 2022年09月12日

老师好，这里有点没拐过弯 - 距离上次发放coupon是30天，过期是还有90天，那这总共才120天，不到半年一次的180天，我还以为没有是指没有下次coupon了，这么理解哪里不对呀？

  • 2

    回答

  • 0

    关注

  • 870

    浏览
相关问题

NO.PZ202108100100000303 问题如下 Tim yle is a portfolio manager BestFutures Group, a hee funthfrequently enters into rivative contracts either to hee the risk of investments it hol or to speculate outsi of those investments. yle works alongsi ane Kemper, a junior analyst the hee fun They meet to evaluate new investment ianto review severof the firm’s existing investments.Carry Arbitrage Molyle anKemper scuss the carry arbitrage mol anhow they ctake aantage of mispricing in bonmarkets. Specifically, they woullike to execute arbitrage transaction on a Eurollfutures contrain whithe unrlying Eurollbonis expecteto make interest payment in two months. yle makes the following statements:Statement 1If the Eurollfutures priis less ththe prisuggestethe carry arbitrage mol, the futures contrashoulpurchaseStatement 2Baseon the cost of carry mol, the futures priwoulhigher if the unrlying Eurollbons upcoming interest payment wexpectein five months insteof two.Three-YeTreasury Note Futures ContractKemper then presents two investment ito yle. Kemper’s first investment ia is to purchase a three-yeTreasury note futures contract. The unrlying 1.5%, semi-annuthree-yeTreasury note is quotea clepriof 101. It hbeen 60 ys sinthe three-yeTreasury note’s last coupon payment, anthe next coupon payment is payable in 120 ys. yle asks Kemper to calculate the full spot priof the unrlying three-yeTreasury note.10-YeTreasury Note Futures ContractKemper’s seconinvestment ia is to purchase a 10-yeTreasury note futures contract. The unrlying 2%, semi-annu10-yeTreasury note ha rty priof 104.17. It hbeen 30 ys sinthe 10-yeTreasury note’s last coupon payment. The futures contraexpires in 90 ys. The quotefutures contrapriis 129. The current annualizethree-month risk-free rate is 1.65%. The conversion factor is 0.7025. yle asks Kemper to calculate the equilibrium quotefutures contrapribaseon the carry arbitrage mol. Japanese Government BonAfter scussing Kemper’s new investment ias, yle anKemper evaluate one of their existing forwarcontrapositions. Three months ago, BestFutures took a long position in eight 10-yeJapanese government bon(JGforwarcontracts, with eacontrahaving a contranotionvalue of 100 million yen. The contracts ha priof JPY153 (quotea percentage of par) when the contracts were purchase Now, the contracts have six months left to expiration anhave a priof JPY155. The annualizesix-month interest rate is 0.12%. yle asks Kemper to value the JGB forwarposition. Interest Rate SwapsAitionally, yle asks Kemper to pria one-yeplain vanilla swap. The spot rates anys to maturity eapayment te are presentein Exhibit 1.Finally, yle anKemper review one of BestFutures’s pay-fixeinterest rate swpositions. Two years ago, the firm entereinto a JPY5 billion five-yeinterest rate swap, paying the fixerate. The fixerate when BestFutures entereinto the swtwo years ago w0.10%. The current term structure of interest rates for JPY cash flows, whiare relevant to the interest rate swposition, is presentein Exhibit 2.yle asks Kemper to calculate the value of the pay-fixeinterest rate swap. The equilibrium 10-yeTreasury note quotefutures contrapriis closestto: A.147.94 B.148.89 C.149.78 A is correct. The equilibrium 10-yequotefutures contrapribaseon the carry arbitrage mol is calculateasQ0 = (1/CF) × [FV( + AI0 ) − AIT − FVCI].= 0.7025 = 104.00AI0 = 0.17AIT = (120/180 × 0.02*100/2) = 0.67FV= 0.Q0 =(1/0.7025) × [(1+0.0165)(3/12) (104.17) - 0.67-0]=147.94 中文解析本题考察的是求无套利的远期价格Q0 。按照上述步骤计算即可。需要注意的是在根据公式求得F0 后，要除以转换因子CF，才能得到最终的Q0。另外，AI的计算公式为 如题

2024-05-06 22:34 1 · 回答

NO.PZ202108100100000303 问题如下 The equilibrium 10-yeTreasury note quotefutures contrapriis closestto: A.147.94 B.148.89 C.149.78 A is correct. The equilibrium 10-yequotefutures contrapribaseon the carry arbitrage mol is calculateasQ0 = (1/CF) × [FV( + AI0 ) − AIT − FVCI].= 0.7025 = 104.00AI0 = 0.17AIT = (120/180 × 0.02*100/2) = 0.67FV= 0.Q0 =(1/0.7025) × [(1+0.0165)(3/12) (104.17) - 0.67-0]=147.94 中文解析本题考察的是求无套利的远期价格Q0 。按照上述步骤计算即可。需要注意的是在根据公式求得F0 后，要除以转换因子CF，才能得到最终的Q0。另外，AI的计算公式为 没太理解这俩的区别，请问意思是问的是无套利条件下的contraprice么？然后题目里的129是有套利空间的情况?

2023-10-19 15:48 1 · 回答

NO.PZ202108100100000303 问题如下 The equilibrium 10-yeTreasury note quotefutures contrapriis closestto: A.147.94 B.148.89 C.149.78 A is correct. The equilibrium 10-yequotefutures contrapribaseon the carry arbitrage mol is calculateasQ0 = (1/CF) × [FV( + AI0 ) − AIT − FVCI].= 0.7025 = 104.00AI0 = 0.17AIT = (120/180 × 0.02*100/2) = 0.67FV= 0.Q0 =(1/0.7025) × [(1+0.0165)(3/12) (104.17) - 0.67-0]=147.94 中文解析本题考察的是求无套利的远期价格Q0 。按照上述步骤计算即可。需要注意的是在根据公式求得F0 后，要除以转换因子CF，才能得到最终的Q0。另外，AI的计算公式为 AI到底该怎么算呢？前一题的AI（0）用的是上一笔coupon到小t时刻的时间，这题的AI（T）反而要加上未来的90天到settlement y，感觉很疑惑

2023-09-27 10:56 1 · 回答

NO.PZ202108100100000303 问题如下 The equilibrium 10-yeTreasury note quotefutures contrapriis closestto: A.147.94 B.148.89 C.149.78 A is correct. The equilibrium 10-yequotefutures contrapribaseon the carry arbitrage mol is calculateasQ0 = (1/CF) × [FV( + AI0 ) − AIT − FVCI].= 0.7025 = 104.00AI0 = 0.17AIT = (120/180 × 0.02*100/2) = 0.67FV= 0.Q0 =(1/0.7025) × [(1+0.0165)(3/12) (104.17) - 0.67-0]=147.94 中文解析本题考察的是求无套利的远期价格Q0 。按照上述步骤计算即可。需要注意的是在根据公式求得F0 后，要除以转换因子CF，才能得到最终的Q0。另外，AI的计算公式为 老师，题目算对了，但是题中给的QFP129那个数字是什么QFP啊，和答案里的QFP有什么关系？

2023-07-23 21:01 1 · 回答

NO.PZ202108100100000303问题如下 The equilibrium 10-yeTreasury note quotefutures contrapriis closestto: A.147.94B.148.89C.149.78 A is correct. The equilibrium 10-yequotefutures contrapribaseon the carry arbitrage mol is calculateasQ0 = (1/CF) × [FV( + AI0 ) − AIT − FVCI].= 0.7025 = 104.00AI0 = 0.17AIT = (120/180 × 0.02*100/2) = 0.67FV= 0.Q0 =(1/0.7025) × [(1+0.0165)(3/12) (104.17) - 0.67-0]=147.94 中文解析本题考察的是求无套利的远期价格Q0 。按照上述步骤计算即可。需要注意的是在根据公式求得F0 后，要除以转换因子CF，才能得到最终的Q0。另外，AI的计算公式为 为什么期末的AI天数是120？从现在到到期才90天，不应该按照90天算吗？这个现金流的图能麻烦老师画一下吗？感觉有点混乱

2023-04-07 09:12 1 · 回答