1.2%是默认年coupon，所以除以期数对吧

NO.PZ2019010402000057

问题如下：

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

1.2%是默认年coupon，所以除以期数对吧

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Lucky_品职助教 · 2022年02月03日

嗨，爱思考的PZer你好：

是的，一般说coupon rate都是年化的

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努力的时光都是限量版，加油！

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