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保过 · 2024年03月22日

AI为啥是用120除以180，题目中说距离上个付息日过去了30天，表明该我拿的coupon=30/180才对啊？

  1. CFA II
  2. Derivative

NO.PZ2023041003000017

问题如下：

Kemper’s second investment idea is to purchase a 10-year Treasury note futures contract. The underlying 2%, semi-annual 10-year Treasury note has a dirty price of 104.17. It has been 30 days since the 10-year Treasury note’s last coupon payment. The futures contract expires in 90 days. The quoted futures contract price is 129. The current annualized three-month risk-free rate is 1.65%. The conversion factor is 0.7025. Doyle asks Kemper to calculate the equilibrium quoted futures contract price based on the carry arbitrage model.

The equilibrium 10-year Treasury note quoted futures contract price is closest to:

选项：

A.

147.94.

B.

148.89.

C.

149.78.

解释：

The equilibrium 10-year quoted futures contract price based on the carry arbitrage model is calculated as：


CF = 0.7025

B0 = 104.00

AI0 = 0.17

AIT = (120/180×0.02/2) = 0.67

FVCI = 0


AI为啥是用120除以180，题目中说距离上个付息日过去了30天，表明该我拿的coupon=30/180才对啊？

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2 个答案

pzqa35 · 2024年03月28日

嗨，爱思考的PZer你好：


同学是对的哈，这里没有乘以面值，已经更新题库，谢谢同学指正呀！

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pzqa35 · 2024年03月25日

嗨，从没放弃的小努力你好：


这里我们算的是AIT，所以还要加上整个futures的期限哈，具体可以看下图的时间点：

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台风来了 · 2024年03月27日

在答案解释中的：AIT = (120/180×0.02/2) = 0.67， 这个计算是错的，还要乘以100才得到0.67。

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