NO.PZ2023091701000169
问题如下：
A bond portfolio manager purchased a US Treasury bondwith a settlement date of September 25. The previous coupon payment was made onMay 1, and the next coupon payment will be made on November 1. The managerapplies the actual/actual day count convention and determines that there are184 days in the coupon period, and 37 days between the settlement date and thenext coupon payment date. Additional information about the bond is providedbelow:
- Face value: USD 100
- Annual coupon rate: 3%
- Dirty (cash) price of the bond on settlement date: USD 98.13
选项：
A.
USD 95.73
B.
USD 96.93
C.USD 97.83
D.USD 99.33
解释：
B is correct.Accrued interest (ia) is computed as follows:
where t isthe number of calendar days between the last coupon date and the settlementdate, T is the number of calendar days between the last coupondate and the next coupon date. Given the information provided:
t = 184 − 37 = 147
and
Thus, 
The clean (quoted)price of the bond is the dirty (cash) price of the bond less accrued interest:
Clean price =dirty price − accrued interest = 98.1300 − 1.1984 = USD 96.9316
A is incorrect.This uses the annual coupon instead of the semiannual coupon to calculate theaccrued interest.
C is incorrect.This uses the days remaining to the next coupon payment date (37) instead ofthe days elapsed since the last coupon payment date (147) to calculate theaccrued interest.
D is incorrect.This adds the accrued interest to the dirty (cash) price instead of subtractingit.
这题不是很懂，咋算出来的
