开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

AJI · 2021年05月20日

此题有疑问?

* 问题详情,请 查看题干

NO.PZ201702190300000101

问题如下:

Based on Exhibit 1 and assuming annual compounding, the arbitrage profit on the bond futures contract is closest to:

选项:

A.

0.4158

B.

0.5356

C.

0.6195

解释:

B is correct.

The no-arbitrage futures price is equal to the following:

F0(T) = FV0,T(T)[B0(T + Y) + Al0 PVCI0,T]

F0(T) = (1 + 0.003)0.25(112.00 + 0.08 - 0)

F0(T) = (1 + 0.003)0.25 (112.08) = 112.1640

The adjusted price of the futures contract is equal to the conversion factor multiplied by the quoted futures price:

F0(T)=CF(T)QF0(T)

F0(T) = (0.90)(125) = 112.50

Adding the accrued interest of 0.20 in three months (futures contract expiration) to the adjusted price of the futures contract gives a total price of 112.70.

This difference means that the futures contract is overpriced by 112.70 - 112.1640 = 0.5360. The available arbitrage profit is the present value of this difference: 0.5360/(1.003)0.25 = 0.5356.

1、从哪个条件获知后续无coupon收取?

2、是否有通过画图法对此题进行注解哈?

1 个答案
已采纳答案

WallE_品职答疑助手 · 2021年05月20日

嗨,爱思考的PZer你好:


因为这是合约,并不是真正持有债券所以是无coupon得

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!