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：

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

coupon amount计算

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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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请问Coupon amount 为什么要*100/2呀？

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