仲同学2018-03-03 10:23:01

Assume you take a short position in a March T-Bond futures contract and that the settlement price of the cheapest-to-deliver (CTD) bond in March will be 70. Also, assume that the conversion factor is equal to 1.3. You plan on delivering the bond’s coupon payments in May and November. If the accrued interest from November to March is equal to $1,500, what is the invoice price of this bond (face value = 100,000)? Invoice price is: clean price + accrued interest. 解答中0.7是怎么算出来的？ $100,000 × 0.7 × 1.3 + $1,500 = $92,500