1.2%是默认年coupon，所以除以期数对吧

NO.PZ2019010402000057

问题如下：

Aries is going to purchase a two-year Treasury note futures contract, The underlying 1.2%, semi-annual two-year Treasury note is quoted at a clean price of 103. It has been 60 days since the last coupon payment. Aries wants to calculate the full spot price of the underlying two-year Treasury note:

选项：

103.60

103.20

102.80

解释：

B is correct

本题考察的是计算一个两年期国库券的价格。

S₀ = Quoted bond price + Accrued interest = B₀ + AI₀

Accrued interest ( AI )= Accrural period × Periodic coupon amount = （NAD/NTD）× （C/n）

AI = (60/180) × (0.012*100/2) = 0.20.

S₀ = 103 + 0.20 = 103.20

1.2%是默认年coupon，所以除以期数对吧

添加评论

1 个答案

已采纳答案

Lucky_品职助教 · 2022年02月03日

嗨，爱思考的PZer你好：

是的，一般说coupon rate都是年化的

----------------------------------------------
努力的时光都是限量版，加油！

添加评论

1
回答
0
关注
288
浏览

我要回答关注问题

相关问题

NO.PZ2019010402000057问题如下 Aries is going to purchase a two-yeTreasury notefutures contract, The unrlying 1.2%, semi-annutwo-yeTreasury note isquotea clepriof 103. It hbeen 60 ys sinthe last couponpayment. Aries wants to calculate the full spot priof the unrlying two-yearTreasury note: A.103.60B.103.20C.102.80 B is correct本题考察的是计算一个两年期国库券的价格。S0 = Quotebonpri+ Accrueinterest = + AI0 Accrueinterest ( )= Accrurperio×Perioc coupon amount = （NANT× （C/n）= (60/180) × (0.012*100/2) = 0.20.S0 = 103 + 0.20 = 103.20 按我这个图，上一次发放到settlement，应该是后面三个coupon啊Accrueinterest是指距离上一次coupon发放日到settlement te期间应得的利息。

2023-10-01 23:07 2 · 回答

NO.PZ2019010402000057问题如下 Aries is going to purchase a two-yeTreasury notefutures contract, The unrlying 1.2%, semi-annutwo-yeTreasury note isquotea clepriof 103. It hbeen 60 ys sinthe last couponpayment. Aries wants to calculate the full spot priof the unrlying two-yearTreasury note: A.103.60B.103.20C.102.80 B is correct本题考察的是计算一个两年期国库券的价格。S0 = Quotebonpri+ Accrueinterest = + AI0 Accrueinterest ( )= Accrurperio×Perioc coupon amount = （NANT× （C/n）= (60/180) × (0.012*100/2) = 0.20.S0 = 103 + 0.20 = 103.20 老师这个题里面说他is going to buy，那就说明现在是站在0时点，然后下一句说it hbeen 60ys sinlast coupon payment，那第一次付coupon应该在6个月的时候，那这个表述意思现在就站在8个月的时点了吗？所以没明白让计算spot full pri应该是在哪个时间点上的

2023-03-21 13:33 3 · 回答

NO.PZ2019010402000057 问题如下 Aries is going to purchase a two-yeTreasury notefutures contract, The unrlying 1.2%, semi-annutwo-yeTreasury note isquotea clepriof 103. It hbeen 60 ys sinthe last couponpayment. Aries wants to calculate the full spot priof the unrlying two-yearTreasury note: A.103.60 B.103.20 C.102.80 B is correct本题考察的是计算一个两年期国库券的价格。S0 = Quotebonpri+ Accrueinterest = + AI0 Accrueinterest ( )= Accrurperio×Perioc coupon amount = （NANT× （C/n）= (60/180) × (0.012*100/2) = 0.20.S0 = 103 + 0.20 = 103.20 所以AI0的计算是上一期coupon累积了分红周期内已经过去了多长的时间，我理解对吗？那AI（t)又怎么计算呢？accruinterest 都不用折现的吗？至少ai0不用折现，对吧

2023-03-03 17:24 1 · 回答

NO.PZ2019010402000057 问题如下 Aries is going to purchase a two-yeTreasury notefutures contract, The unrlying 1.2%, semi-annutwo-yeTreasury note isquotea clepriof 103. It hbeen 60 ys sinthe last couponpayment. Aries wants to calculate the full spot priof the unrlying two-yearTreasury note: A.103.60 B.103.20 C.102.80 B is correct本题考察的是计算一个两年期国库券的价格。S0 = Quotebonpri+ Accrueinterest = + AI0 Accrueinterest ( )= Accrurperio×Perioc coupon amount = （NANT× （C/n）= (60/180) × (0.012*100/2) = 0.20.S0 = 103 + 0.20 = 103.20 老师，答案是= (60/180) × (0.012*100/2)，我自己想的是=60/360*1.2%*100，能否这样计算呢？虽然半年付息，但是60天除以360，是对应年化1.2%的。

2022-07-28 17:32 3 · 回答

NO.PZ2019010402000057 问题如下 Aries is going to purchase a two-yeTreasury notefutures contract, The unrlying 1.2%, semi-annutwo-yeTreasury note isquotea clepriof 103. It hbeen 60 ys sinthe last couponpayment. Aries wants to calculate the full spot priof the unrlying two-yearTreasury note: A.103.60 B.103.20 C.102.80 B is correct本题考察的是计算一个两年期国库券的价格。S0 = Quotebonpri+ Accrueinterest = + AI0 Accrueinterest ( )= Accrurperio×Perioc coupon amount = （NANT× （C/n）= (60/180) × (0.012*100/2) = 0.20.S0 = 103 + 0.20 = 103.20 0.012乘以100除以2是啥意思？？100指代啥

2022-06-09 15:07 1 · 回答

1.2%是默认年coupon，所以除以期数对吧

1 个答案

1

0

288

相关问题