NO.PZ2023020101000010
问题如下:
Three months ago (90 days), Kim purchased
a bond with a 3% annual coupon and a maturity date of seven years from the date
of purchase. The bond has a face value of US$1,000 and pays interest every 180
days from the date of issue. Kim is concerned about a potential increase in
interest rates over the next year and has approached Riley for advice on how to
use forward contracts to manage this risk. Riley advises Kim to enter into a
short position in a fixed-income forward contract expiring in 360 days. The
annualized risk-free rate now is 1.5% per year and the price of the bond with
accrued interest is US$1,103.45.
Based on a 360-day year, the price of the
forward contract on the bond purchased by Kim is closest to:
选项:
A.US$1,082.
US$1,090.
C.
US$1,120.
解释:
Note
that time 0 is the forward contract initiation date, that is, 90 days after the
purchase of the bond. Time T is the contract expiration date, that is, 360
days.
The
forward contract price follows:
F0(T) = FV0,T [S0 – PVCI0,T]
Present value (PV) of coupons = PVCI0,T = 15/(1.015)90/360 + 15/(1.015)270/360 = 14.944 + 14.833 = US$29.778
F0(T)
= (1103.45 – 29.778)(1.015)360/360 = US$1,090.
协会教材在这里写的有矛盾,参见下面两个公式,一个是需要调整AIT,但是另一个又不需要进行调整。
根据它的题目来看就是如果是根据标的资产的价格去求FP,那就不要减去AIT,但是如果要求QFP,就还需要减去AIT之后做转换.
老师,没看懂答案,这个题maturity不是7年吗?能用画图法讲解一下吗