淑同学2025-04-17 10:16:44

Three months ago (90 days), Kim purchased a bond with a 3% annual coupon and a maturity date of seven years from the date of purchase. The bond has a face value of US$1,000 and pays interest every 180 days from the date of issue. Kim is concerned about a potential increase in interest rates over the next year and has approached Riley for advice on how to use forward contracts to manage this risk. Riley advises Kim to enter into a short position in a fixed-income forward contract expiring in 360 days. The annualized risk-free rate now is 1.5% per year and the price of the bond with accrued interest is US$1,103.45.这道题是协会官网题目，有点搞不清楚各种时间。case说90天以前买了债券，现在想买1年的远期合约，为什么定价还是给360天的远期合约定价呢？不应该是450天以后吗？