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.
第一个：这道题问的是 future price ，实际答案给的是Quoted Future price，真题会是这样模糊的问法么？
第二个：给出了债券价格156000后，还给了一个yield 2.5%，请问这个2.5%是什么意思？
以上两个问题，请老师回答
