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.
您好在这题我不太明白coupon的2/12这个时点而且还说35*（1.015）^ 2/12，甚至有点没读懂这个条件为啥用的1000*7%/2而不是用1650我还不太明白题目里yield虽然没啥用但是疑惑，
