Damon2024-04-07 06:23:02

这道题我有一个疑惑就是他虽然说没有AI，但是实际上合约期是八个月，那么半年付息，他肯定是有一笔Coupon在6时间点，也就是说我们应该考虑这个AI。他前面说bond price 是没有AI的，那我只能理解为是Bond刚发行，contract同时在0时间点。那么156000就应该依然是Dirty price。这个理解对吗？Currently Sheroda is long a US Treasury futures position. Parisi notes the following information for the cheapest to deliver US Treasury bond for the contract; 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, has no accrued interest, and a yield of 2.5%. The futures contract expires in 8 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.