阿同學(xué)
2022-05-20 13:36老師，對Future Price公式里的FVC還是有點困惑，圖1中因為at contract expiration時no coupon payment，所以FVC=0，這個FVC可以理解為是contract expiration時的coupon嗎？圖二中AI over life of future contract=0，所以FVC=0，F(xiàn)VC與AI的關(guān)系又是怎樣的？
所屬：CFA Level II > Derivatives 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Essie助教
2022-05-20 16:41
該回答已被題主采納
你好，F(xiàn)VC是期貨持有期間收到的票息，復(fù)利到合約結(jié)束時的價值，公式為FVC = coupon*(1+rf)^t。而AI是應(yīng)計利息，是債券自上一次付息后累計未付的利息AIt=coupon*t/T。課后題和講義上這種題剛好又都是FVC=0時的情況，可以參考下面這題，涉及到FVC的計算。
Moyle provides Petsas and Iacocca with the following information for a Treasury bond and asks them to calculate the price of a futures contract on this bond. The bond has a face value of $100,000, pays a 7% semiannual coupon, and matures in 15 years. The bond is priced at $156,000 and yields 2.5%. The bond has just paid the coupon. The futures contract expires in eight months, and the annualized risk-free rate is 1.5%. There are multiple deliverable bonds, and the conversion factor for this bond is 1.098.
QFP=(??0×(1+??f )^?????????-AIT)/CF，其中??0=156,000，??f=1.5%，??=8/12, FVC=coupon*(1+??f)^t=100,000*7%/2*(1+1.5%)^2/12 (FVC是6時點的coupon復(fù)利到8時點，共2個月，因此t=2/12)，AIT=coupon*2/6=3500/3=1166.67（AIT是6到8時點應(yīng)計利息，共2月，占半年利息的2/6）。
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