NO.PZ2023020101000010
问题如下：
Three months ago (90 days), Kim purchased
a bond with a 3% annual coupon and a maturity date of seven years from the date
of purchase. The bond has a face value of US$1,000 and pays interest every 180
days from the date of issue. Kim is concerned about a potential increase in
interest rates over the next year and has approached Riley for advice on how to
use forward contracts to manage this risk. Riley advises Kim to enter into a
short position in a fixed-income forward contract expiring in 360 days. The
annualized risk-free rate now is 1.5% per year and the price of the bond with
accrued interest is US$1,103.45.
Based on a 360-day year, the price of the
forward contract on the bond purchased by Kim is closest to：
选项：
A.US$1,082.
US$1,090.
C.
US$1,120.
解释：
Note
that time 0 is the forward contract initiation date, that is, 90 days after the
purchase of the bond. Time T is the contract expiration date, that is, 360
days.
The
forward contract price follows:
F0(T)
= FV0,T [S0 – PVCI0,T]
Present
value (PV) of coupons = PVCI0,T = 15/(1.015)90/360 +
15/(1.015)270/360 = 14.944 + 14.833 = US$29.778
F0(T)
= (1103.45 – 29.778)(1.015)360/360 = US$1,090.
如果是short forwoard，那么期间的coupon，应该是可以获取的。
为什么要扣减PVCt呢？
而且，S0=1103.45，但是是包含了利息。
为什么不剔除利息呢？
