为啥不用计算时间价值呢？

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

为啥这里默认0.6就是ai0了呢

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1 个答案

Lucky_品职助教 · 2022年02月08日

嗨，从没放弃的小努力你好：

你问的0.6是不是指0.2呢？题目中0时点就是60天的时候，也就是我们算full price这个时点，0.2就是从上一个付息日到今天（60天时点，也是0时点）之间的应计利息，也就是AI0

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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为啥不用计算时间价值呢？

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