仲同學(xué)
2018-03-03 10:23Assume you take a short position in a March T-Bond futures contract and that the settlement price of the cheapest-to-deliver (CTD) bond in March will be 70. Also, assume that the conversion factor is equal to 1.3. You plan on delivering the bond’s coupon payments in May and November. If the accrued interest from November to March is equal to $1,500, what is the invoice price of this bond (face value = 100,000)? Invoice price is: clean price + accrued interest. 解答中0.7是怎么算出來的？ $100,000 × 0.7 × 1.3 + $1,500 = $92,500
所屬：FRM Part I 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Galina助教
2018-03-05 10:44
該回答已被題主采納
根據(jù)the cheapest-to-deliver (CTD) bond in March will be 70
treasury futures是百元報價，要把其轉(zhuǎn)化為正常的價值再乘以對應(yīng)面值100000
即70/100 * 100000
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