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