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晶😃Jing · 2022年04月30日

请问Coupon amount 为什么要*100/2呀?

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:

A.

103.60

B.

103.20

C.

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

coupon amount计算
1 个答案

Lucky_品职助教 · 2022年04月30日

嗨,从没放弃的小努力你好:


因为题目说了semi-annual 每半年付息一次哦

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