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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

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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)。

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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。

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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？

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