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Sibyl · 2023年10月01日

AI的折现没看懂

  1. CFA II
  2. Derivative

NO.PZ2019010402000057

问题如下：

Aries is going to purchase a two-year Treasury notefutures contract, The underlying 1.2%, semi-annual two-year Treasury note isquoted at a clean price of 103. It has been 60 days since the last couponpayment. Aries wants to calculate the full spot price of the underlying two-yearTreasury note:

选项：

A.

103.60

B.

103.20

C.

102.80

解释：

B is correct

本题考察的是计算一个两年期国库券的价格。

S0 = Quoted bond price + Accrued interest = B0 + AI0

Accrued interest ( AI )= Accrural period ×Periodic coupon amount = （NAD/NTD）× （C/n）

AI = (60/180) × (0.012*100/2) = 0.20.

S0 = 103 + 0.20 = 103.20

​ 按我这个图，上一次发放到settlement，应该是后面三个coupon啊 Accrued interest是指距离上一次coupon发放日到settlement date期间应得的利息。

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2 个答案

李坏_品职助教 · 2024年03月26日

嗨，从没放弃的小努力你好：


sorry，这个之前助教画的图不对，上一次coupon是60天之前支付的，下一次coupon应该是在120天支付，不是90天。

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努力的时光都是限量版，加油！

李坏_品职助教 · 2023年10月03日

嗨，从没放弃的小努力你好：


对于固定利息债券来说，AI指的是自从上次发放利息已经过的天数，除以发放利息的周期天数。并不是指到该债券到期的那一天。所以只需要考虑last payment of coupon即可，至于后面还没发放的coupon不用考虑。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

YAO Monica · 2024年03月26日

下面的天数为什么不是60+90=150，而是180？

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NO.PZ2019010402000057问题如下 Aries is going to purchase a two-yeTreasury notefutures contract, The unrlying 1.2%, semi-annutwo-yeTreasury note isquotea clepriof 103. It hbeen 60 ys sinthe last couponpayment. Aries wants to calculate the full spot priof the unrlying two-yearTreasury note: A.103.60B.103.20C.102.80 B is correct本题考察的是计算一个两年期国库券的价格。S0 = Quotebonpri+ Accrueinterest = + AI0 Accrueinterest ( )= Accrurperio×Perioc coupon amount = （NANT× （C/n）= (60/180) × (0.012*100/2) = 0.20.S0 = 103 + 0.20 = 103.20 老师这个题里面说他is going to buy，那就说明现在是站在0时点，然后下一句说it hbeen 60ys sinlast coupon payment，那第一次付coupon应该在6个月的时候，那这个表述意思现在就站在8个月的时点了吗？所以没明白让计算spot full pri应该是在哪个时间点上的

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