水瓶公主 · 2024年01月15日
NO.PZ2020042003000126
问题如下：
After 1 year and half the bank deals 6-month repo on this bond for a notional of 700,000 at a price of 99.9. The haircut of the bond is 15%, coupon rate 10%. What is TSECF at 1 year and half?
解释：
TSECF is equal to the price it pays to deliver the bond at inception:
700,000*(99.9%+10%*1)*(1-15%)=653,905
Cash we pay, so should be -653,905
应计利息是一年支付一次还是半年支付一次？这个应计利息是什么时候的
应计利息=年化利率*已计息月份/12，那么这道题应计利息应该70w*10%*1.5咯
NO.PZ2020042003000126 问题如下 After 12months (1year) the bank als 6-month repo on this bonfor a notionof 700,000 a priof 99.9. The haircut of the bonis 15%, coupon rate 10%, coupon paiannually. Whis TSLGC 1 year? TSLGC is equto the priit pays to liver the boninception:700,000*(99.9%+10%*1)*(1-15%)=653,905 其实bank不是已经收到了前两次的coupon（一共10k）了么？为什么做repo的时候也要算上这些已收到的呢？请解答～
NO.PZ2020042003000126问题如下 After 12months (1year) the bank als 6-month repo on this bonfor a notionof 700,000 a priof 99.9. The haircut of the bonis 15%, coupon rate 10%, coupon paiannually. Whis TSLGC 1 year? TSLGC is equto the priit pays to liver the boninception:700,000*(99.9%+10%*1)*(1-15%)=653,905 利息是在repo开始就支付吗？付半年还是一年？
