题目
A $1,000 par U.S. corporate bond settles on February 3rd, 2011 and pays an 8.0% semi-annual coupon on January and July 1st. The yield on the bond is 5.0% and the bond matures on January 1st, 2014 such that six (6) semi-annual coupon payments remain. What is the dirty price (a.k.a., full price) of the bond?
选项
A.$1,080.35
B.$1,087.38
C.$1,102.24
D.$1,256.38
答案
B
解析
The 30/360 accrued interest = $1,000 × 8%/2 × 32/180 = $7.11;This bond settles on 2/3/2011, but we can retrieve its full (dirty) price on 1/1/2011 which is a round 3.0 years until maturity: N = 6; I/Y = 2.5; PMT = 40; FV = 1000, and CPT PV = $1,082.6219; i.e., the price on 1/1/2011;The dirty (full) price on the settlement date =$1,082.6219×1.025^(32/180)=$1,087.38应计利息= $1,000 × 8%/2 × 32/180 = $7.11；1/1/2011 的全价：N = 6; I/Y = 2.5; PMT = 40; FV = 1000, and CPT PV = $1,082.6219; 交割日的全价=$1,082.6219×1.025^(32/180)=$1,087.38