题目是
The bank buys a bond at time 0 for notional amount of 2,000,000 at a price of 97.5; the payment is settled after 3 business days, when the bond’s possession also passes to the bank.
Assume the bank repos the bond after 6 months for a notional amount equal to 700,000 and a period of 3 months. The haircut of the bond is 15%, coupon rate 10%. What is TSCLGC at 6 months?
请问老师，
- 题中说的银行从t=0买bond开始，t=6 month进入repo，这段时间bond是怎么产生coupon的？题中似乎没有说清楚bond在哪个时间点产生coupon以及是否是annually payout
- 为什么答案中默认t=6 month时bond的market price还是97.5？
非常感谢~
