NO.PZ2023020101000011
问题如下：
They move to valuation of a bond futures
contract employed by Sheroda. Parisi provides Curry with the following
information for a Treasury bond and calculates the price of a futures contract on
this bond. The bond has a face value of $100,000, pays a 7% semiannual coupon,
and matures in 15 years. The bond is priced at $156,000, has no accrued
interest, and yields 2.5%. The futures contract expires in 8 months, and the
annualized risk-free rate is 1.5%. There are multiple deliverable bonds, and the
conversion factor for this bond is 1.098.
Based on the information provided by
Parisi, which of the following correctly calculates the futures price of the
Treasury bond：
选项：
A.f 0 ( T
)= [ $156,000 ( 1.015 ) ( 8/ 12 ) −$3,508.6958 ] /1.098 =$140,298.21.
f 0 ( T )= [ $156,000 ( 1.015 )
( 8/ 12 ) −3,491.325
]/ 1.098 =$140,314.03.
C.
f 0 ( T )=1.098[ $156,000 (
1.015 ) ( 8/ 12 ) −$3,508.6958
]=$169,144.08.
解释：
The
futures price is calculated as follows:
f 0 ( T )= 1 /CF( T ) { FV[ B 0 ( T+Y )+A I 0
]−A I T −FVC I 0,T }
There
is no accrued interest, but the bond pays a $3,500 coupon in 6 months, so the
future value of the coupon at expiration will be $3,508.6958 = 3500(1.015)(2/12).
f 0 ( T )= [ $156,000 ( 1.015 ) ( 8/ 12 ) −$3,508.6958 ] /1.098 =$140,298.21.
- 老师：从accrued interest 公式里，用的不是coupon期限么？那这道题里说no AI，AI和coupon 都是什么？
- yield=2.5% 是指的什么？
- QFP 和 future price 、equilibrium euro-bond futures price 如何区分？
