AI计算的时间

NO.PZ2019010402000057

问题如下：

Aries is going to purchase a two-year Treasury notefutures contract, The underlying 1.2%, semi-annual two-year Treasury note isquoted at a clean price of 103. It has been 60 days since the last couponpayment. Aries wants to calculate the full spot price of the underlying two-yearTreasury note:

选项：

103.60

103.20

102.80

解释：

B is correct

本题考察的是计算一个两年期国库券的价格。

S₀ = Quoted bond price + Accrued interest = B₀ + AI₀

Accrued interest ( AI )= Accrural period ×Periodic coupon amount = （NAD/NTD）× （C/n）

AI = (60/180) × (0.012*100/2) = 0.20.

S₀ = 103 + 0.20 = 103.20

计算AI时的60和180可以用画图的方式表示一下吗？不知道这个是在计算哪块时间

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1 个答案

lynn_品职助教 · 2022年01月04日

嗨，爱思考的PZer你好：

semi-annual 支付利息的 Treasury，所以每次coupon发放间隔，180天，距离上次发放已经60天，所以要accrue 60天 of 180天的利息。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2019010402000057问题如下 Aries is going to purchase a two-yeTreasury notefutures contract, The unrlying 1.2%, semi-annutwo-yeTreasury note isquotea clepriof 103. It hbeen 60 ys sinthe last couponpayment. Aries wants to calculate the full spot priof the unrlying two-yearTreasury note: A.103.60B.103.20C.102.80 B is correct本题考察的是计算一个两年期国库券的价格。S0 = Quotebonpri+ Accrueinterest = + AI0 Accrueinterest ( )= Accrurperio×Perioc coupon amount = （NANT× （C/n）= (60/180) × (0.012*100/2) = 0.20.S0 = 103 + 0.20 = 103.20 按我这个图，上一次发放到settlement，应该是后面三个coupon啊Accrueinterest是指距离上一次coupon发放日到settlement te期间应得的利息。

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AI计算的时间

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