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Ivy1917 · 2025年05月05日

不是很理解

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NO.PZ202504020200007201

问题如下:

Based on a 360-day year, the price of the forward contract on the bond purchased by Kim is closest to:

选项:

A.A.US$1,082.

B.B.US$1,090.

C.C.US$1,120.

解释:

A Incorrect.

PV of coupons = PVCI0,T = 15/(1.015)90/360 + 15/(1.015)270/360 = 14.944 + 14.833 = US$29.778

This calculation then incorrectly uses 1.015(180/360)

F0(T) = (1103.45 – 29.778)(1.015)180/360 = US$1,082

B Correct. 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

C Incorrect. This calculation does not deduct the PV of coupon.

F0(T) = (1103.45)(1.015)360/360 = US$1,120

可以用画图法解释下这道题目么 不是很理解答案

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