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衍生百题case1第三题,可能我题目没读懂,S0=1071.33应该是三个月以前的购买债券的价格吧,那为什么在算FP的时候,使用这个价格减去coupon的现值(coupon的现值只是折现到三个月后这个点),感觉2个价格时间是不匹配的,因为后面都是再乘以(1+Rf),所以我理解应该用同一个时间节点的价格计算。不知道我哪里理解错了。还有就是这个题目是说S0 with arrcued interst, 那如果题目中不包括利息的话,是不是使用S0的时候要把利息加上去?
已回答After orders are created using order matching rules, trade pricing rules are used todetermine the price. Under the uniform pricing rule, all orders trade at the same price, whichis the price that results in the highest volume of trading. The discriminatory pricing rule usesthe limit price of the order that arrived first as the trade price.In an electronic crossing network, the typical trader is an institution. Orders are batchedtogether and crossed (matched) at fixed points in time during the day at the average of the bidand ask quotes from the exchange where the stock primarily trades. This pricing rule isreferred to as the derivative pricing rule because it is derived from the security’s mainmarket. The price is not determined by orders in the crossing network.
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