小强爱英语 · 2024年07月28日

T时间点的A T怎么求？

1. CFA II
2. 其他
3. Derivative

* 问题详情，请 查看题干

NO.PZ202403050900000904

问题如下：

Based on the information provided by Parisi, the price of the bond futures contract Sheroda holds in Quantum is closest to:

选项：

A.141,234

B.140,298

C.146,689

解释：

B Correct. There is no accrued interest, but the bond pays a $3,500 coupon in 6 months, and the future value of the coupon at expiration will be $3,508.6958 = 3500(1.015)^(2/12) FP=$156,000*1.015^8/12-$3,508.6958=154047.4301

QFP=FP/CF=154047.4301/1.098=140,298.20

能不能换一个图整个题目解答一下？我感觉这个A T算法跟平时讲的那种占付息间隔期间的几分之几不一样？