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bunnymiss · 2020年03月08日

问一道题：NO.PZ2020011303000012 [ FRM I ]

  1. FRM I
  2. Valuation And Risk Models

问题如下：

A corporate bond in the United States pays a coupon of 10% per year. Payment dates are January 15 and July 15. What is the accrued interest on a USD 1,000 bond on the start of trading on April 1 in a (a) leap year and (b) a year that is not a leap year?

解释：

Whether it is a leap year or not makes no difference. The day count convention for bonds is 30/360 so that it is always assumed that there are 30 days in a month. In this case, there are 75 days in the accrual period, the interest is USD 100 per year and the accrued interest (USD) is 75/360×100 = 20.83

为什么用100乘而不是50？不是半年付一次吗
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品职答疑小助手雍 · 2020年03月09日

同学你好，不管是不是半年付息一次，单利的计算都是按天来的，75天占360天的比例乘以10% 和 75天占180天的比例乘以5%是一样的。

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