NO.PZ2020011303000164
问题如下:
The price of a U.S. Treasury bond is quoted as 98.0. It is sold in a transaction settled on June 27. Coupons are paid at the rate of 6% per year on March 15 and September 15. What is the cash price?
解释:
There are 184 days between coupon payments and 104 days between the last coupon and the settlement date. The accrued interest is
3×104/184 =1.6957
The cash price is 98 + 1.6957 = 99.6957.