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HL · 2022年04月03日

Actual rate的计算

  1. CFA I
  2. Fixed Income

NO.PZ2016031001000071

问题如下：

Bond G, described in the exhibit below, is sold for settlement on 16 June 2014.

Annual Coupon 5%

Coupon Payment Frequency Semiannual

Interest Payment Dates 10 April and 10 October

Maturity Date 10 October 2016

Day Count Convention 30/360

Annual Yield-to-Maturity 4%

The flat price for Bond G on the settlement date of 16 June 2014 is closest to:

选项：

A.

102.18.

B.

103.10.

C.

104.02.

解释：

A is correct.

The flat price of 102.18 is determined by subtracting the accrued interest(from question 20) from the full price (from question 19).

PVFlat=PVFull−Acrrued  InterestPV^{Flat}=PV^{Full}-Acrrued\;Interest

PVFlatPV^{Flat}=103.10 - 0.92=102.18

考点：flat price & full price

解析：flat price = full price - accrued interest = 103.10 - 0.92 = 102.18，故选项A正确。

为啥clean price = dirty price - AI？前面是price，后面是rate，相减是怎么肥事？

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1 个答案

吴昊_品职助教 · 2022年04月03日

嗨，从没放弃的小努力你好：


AI不是什么rate，而是Accrued Interest（应计利息），参考一下基础班讲义P146页。

当买卖债券时，如投资者A将债券卖给投资者B，Accrued interest的存在，是因为投资者A已经持有了债券2个月(假设2个月)，但是Coupon半年付息一次，所以投资者B在4个月后收到的Conpon，有2/6的coupon应该是属于投资者A的。

然而交易时的债券报价是Clean price，所以在交易时，投资者B要在clean price的基础上加上Accrued interest，然后才能把债券买过来。

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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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NO.PZ2016031001000071 问题如下 BonG, scribein the exhibit below, is solfor settlement on 16 June 2014.AnnuCoupon 5%Coupon Payment Frequen SemiannualInterest Payment tes 10 April an10 OctoberMaturity te 10 October 2016y Count Convention 30/360AnnuYielto-Maturity 4%The flprifor BonG on the settlement te of 16 June 2014 is closest to: A.102.18. B.103.10. C.104.02. A is correct.The flpriof 102.18 is terminesubtracting the accrueinterest(from question 20) from the full pri(from question 19).PVFlat=PVFull−Acrrue InterestPV^{Flat}=PV^{Full}-Acrrue;InterestPVFlat=PVFull−AcrruenterestPVFlatPV^{Flat}PVFlat=103.10 - 0.92=102.18考点flpri full price解析flpri= full pri- accrueinterest = 103.10 - 0.92 = 102.18，故A正确。 如题

2023-10-22 08:24 2 · 回答

NO.PZ2016031001000071问题如下BonG, scribein the exhibit below, is solfor settlement on 16 June 2014.AnnuCoupon 5%Coupon Payment Frequen SemiannualInterest Payment tes 10 April an10 OctoberMaturity te 10 October 2016y Count Convention 30/360AnnuYielto-Maturity 4%The flprifor BonG on the settlement te of 16 June 2014 is closest to:A.102.18.B.103.10.C.104.02. A is correct.The flpriof 102.18 is terminesubtracting the accrueinterest(from question 20) from the full pri(from question 19).PVFlat=PVFull−Acrrue InterestPV^{Flat}=PV^{Full}-Acrrue;InterestPVFlat=PVFull−AcrruenterestPVFlatPV^{Flat}PVFlat=103.10 - 0.92=102.18考点flpri full price解析flpri= full pri- accrueinterest = 103.10 - 0.92 = 102.18，故A正确。 老师先谢谢了。。。。。

2023-03-02 04:59 1 · 回答

NO.PZ2016031001000071 问题如下 BonG, scribein the exhibit below, is solfor settlement on 16 June 2014.AnnuCoupon 5%Coupon Payment Frequen SemiannualInterest Payment tes 10 April an10 OctoberMaturity te 10 October 2016y Count Convention 30/360AnnuYielto-Maturity 4%The flprifor BonG on the settlement te of 16 June 2014 is closest to: A.102.18. B.103.10. C.104.02. A is correct.The flpriof 102.18 is terminesubtracting the accrueinterest(from question 20) from the full pri(from question 19).PVFlat=PVFull−Acrrue InterestPV^{Flat}=PV^{Full}-Acrrue;InterestPVFlat=PVFull−AcrruenterestPVFlatPV^{Flat}PVFlat=103.10 - 0.92=102.18考点flpri full price解析flpri= full pri- accrueinterest = 103.10 - 0.92 = 102.18，故A正确。 谢谢老师！

2022-10-13 14:30 2 · 回答

有没有直接求flprice的公式的呢？

2020-11-06 23:10 1 · 回答