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闫旭 · 2022年03月11日

如何算accrued price

  1. CFA I
  2. Fixed Income

NO.PZ2018062006000069

问题如下：

Today is 5 June 2013. A three-year semi-annual bond with a coupon rate of 6% just paid its first coupon payment. The par value is 100. The interest payment dates are 5 April and 5 October. The yield-to-maturity equals to 5%. If day count convention is 30/360, calculate the full price of this bond on 5 June 2013

选项：

A.

100.00

B.

103.17

C.

100.39

解释：

B is correct.

The bond price at the first coupon payment date ( 5 April 2013) is:

N=5，I/Y=2.5，PMT=3，FV=100 → PV= -102.32

The number of days between 5 April 2013 and today (5 June 2013) is 60 days based on the 30/360 day count convention. Thus, the full price of the bond is:

102.32 ×（1+2.5%）60/180=103.17

考点：flat price & full price

解析：首先，我们将未来五笔现金流折现到2013.4.5，得到现值之和为102.32。N=5，PMT=3，I/Y=2.5，FV=100，求得PV=102.32

然后再将这个数值复利到2013.6.5，得到full price为103.17，故选项B正确。

accrued price = 6*（60/360）=1，对吗？

如果再想求flat price，只能用full price - accrued price这一种方式，对吗？

谢谢解答

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1 个答案

吴昊_品职助教 · 2022年03月12日

嗨，爱思考的PZer你好：


1、accrued interest计算答案正确，但过程有问题。题干半年付息一次，Accrued interest=100×3%×(60/180)=1，T代表的就是两个付息日之间的时间间隔，即T=180；t代表的是上个付息日到交易日之间的时间间隔，即t=60。对应题号：2018062006000070

2、flat price=full price-accrued interest，是的，只有这样做。对应题号：2018062006000071

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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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