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CFA二级
包含CFA二级传统在线课程、通关课程及试题相关提问答疑;
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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.
已解决精品问答
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