问题如下:
Bond G, described in the exhibit below, is sold for settlement on 16 June 2014.
Annual Coupon 5%
Coupon Payment Frequency Semiannual
Interest Payment Dates 10 April and 10 October
Maturity Date 10 October 2016
Day Count Convention 30/360
Annual Yield-to-Maturity 4%
The full price that Bond G will settle at on 16 June 2014 is closest to:
选项:
A. 102.36.
B. 103.10.
C. 103.65.
解释:
B is correct.
The bond’s full price is 103.10. The price is determined in the following manner:As of the beginning of the coupon period on 10 April 2014, there are 2.5 years (5semiannual periods) to maturity. These five semiannual periods occur on 10 October2014, 10 April 2015, 10 October 2015, 10 April 2016 and 10 October 2016.
where:
PV = present value
PMT = coupon payment per period
FV = future value paid at maturity, or the par value of the bond
r = market discount rate, or required rate of return per period
PV = 2.45 + 2.40 + 2.36 + 2.31 + 92.84 = 102.36
The accrued interest period is identified as 66/180. The number of days between10April2014 and 16 June 2014 is 66 days based on the 30/360 day count convention. (This is 20days remaining in April + 30 days in May + 16 days in June = 66 days total). The number of days between coupon periods is assumed to be 180 days using the 30/360 day convention.
老师,我是算的AI=(66/180)x2.5算出来103.28为什么不能这么算,要用复利的方式算