NO.PZ2022071101000012
问题如下：
A bank buys a bond on its coupon payment date. Three months later, in order to generate immediate liquidity, the bank decides to repo the bond. Details of the bond and repo transaction are as follows:
If the repo contract expires 6 months from now, what is the bank’s expected cash outflow at the end of the repo transaction?
选项：
A.
USD 89,046
B.
USD 90,423
C.
USD 93,177
D.
USD 100,470
解释：
中文解析：
B是正确的。repo初期的现金流: (100,000)*(97%+6%*0.25)*(1-10%) = 88,650; repo期末的现金流: 88,650*(1+4%*0.5)=90,423。
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B is correct. Cash inflow at beginning of repo: (100,000)*(97%+6%*0.25)*(1-10%) = 88,650; Cash outflow at end of repo: 88,650*(1+4%*0.5)=90,423
A is incorrect. Left out the accrued interest of 6%*0.25 in the correct equation for cash inflow.
C is incorrect. Used 1 instead of 97% for price in the correct equation for cash inflow.
D is incorrect. eft out haircut of 10% in the correct equation for cash inflow.
repo是3个月后做的，总共6个月，那计算repo rate的时长为啥是0.5？
