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kk大美女 · 2022年08月10日

这个问题我想问一下,这个AI0=0.17是怎么得出来的?

Kemper’s second investment idea is to purchase a 10-year Treasury note futures contract. The underlying 2%, semi-annual 10-year Treasury note has a dirty price of 104.17. It has been 30 days since the 10-year Treasury note’s last coupon payment. The futures contract expires in 90 days. The quoted futures contract price is 129. The current annualized three-month risk-free rate is 1.65%. The conversion factor is 0.7025. Doyle asks Kemper to calculate the equilibrium quoted futures contract price based on the carry arbitrage model.

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


这个问题我想问一下,这个AI0=0.17是怎么得出来的?题目看了很多遍,但是没有说COUPON是多少啊,只是说一年是2.


1 个答案

Lucky_品职助教 · 2022年08月10日

嗨,从没放弃的小努力你好:


AI0是指从上次付息到0时刻的应计利息,也就是30天的利息,用100*0.02/12=0.17 ~

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