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Eve · 2020年05月10日

问一道题:NO.PZ2020042003000023 [ FRM II ]

问题如下:

In a repo, A sells $10 million face amount bond to B on Aug 1, at an invoice price of $11 million for 20 days. At the same time, A agrees to repurchase that $10 million face amount bond at a purchase price equal to the original invoice price plus interest at a repo rate of 0.20%. According to the information above, what is the repurchase price?

选项:

A.

11.12

B.

13.21

C.

12.12

D.

13.12

解释:

考点:对Repurchase Agreements的理解

答案:A

解析:

11 × (1 + 0.20%×20/360=11.12

请问这个计算没问题吗?implied rate按照这个结果,应该是20%不是0.2%吧?
1 个答案

品职答疑小助手雍 · 2020年05月10日

同学你好,我觉得也应该是20%,原版书出题太随意了,总有些疏忽,我跟后台反馈下~