老师，能不能讲下AIt 和 FVC 的具体概念，我做题时发现如果题目不直接给出这两个值，我很难自己算出来。
比如下面这题，解析里面B选项怎么就没有AIt 呢？contract expires in 8 months，第6个月有一次coupon，那剩下两个月难道不是有accrued interest么？
Parisi notes the following information for the cheapest to deliver US Treasury bond for the contract; the bond has a face value of $100,000, pays a 7% semiannual coupon, and matures in 15 years. The bond is priced at $156,000, has no accrued interest, and a yield of 2.5%. The futures contract expires in 8 months, and the annualized risk-free rate is 1.5%. There are multiple deliverable bonds, and the conversion factor for this bond is 1.098.
36. Based on the information provided by Parisi, the price of the bond futures contract Sheroda holds in Quantum is closest to:
A. 141,234
B. 140,298
C. 146,689
B Correct. The futures price is calculated as follows:
f0(T)=1/CF(T)*{FV[B0(T+Y)+AI0]−AIT−FCVI0,T}
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)
f0(T)=[$156,000(1.015)(8/12)−$3,508.6958]/1.098=$140,298.20
