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