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.
你好老师，
在课件中有介绍画图法，其中对中间bond发放的couple首先要折现到t=0时刻，S0 = B0+AI0-PV(C0），在和future中的（QFP*CF+AI)/(1+rf)T, 但是解释中，直接对couple进行FVCI，所以不理解为什么Couple不用折现后就直接（1+rf）T？
第二，对题目的理解，对于还有8个月到期的future，如何在时间轴上面体现这8个月，可以是一次couple也可以是二次couple。
两次couple，也就是当前在4月份，过两个月到第一次6月半年一次的couple，在六个月后就到的12月的第二次couple，请问这个题目的解释不到位，还是我理解上面有问题？
