题目
A US corporate bond that matures on October 1st, 2017 with a par value of $100.00 pays a semi-annual coupon with a coupon rate of 9.0% per annum. It pays coupons on April and October 1st and it offers a yield to maturity (yield) of 4.0% per annum. If it settles on September 1st 2015, which is nearest to the bond's flat (aka, quoted or clean) price?
选项
A.$109. 89
B.$111.78
C.$113.64
D.$115.53
答案
A
解析
On the April 1st, 2015, the bond's price = $111.78365 (I/Y =4/2, N=5, PMT = $4.5, FV = $100).As a US corporate bond, it has a 30/360 day count convention with 150 days since last coupon. This bond's full price on the settlement date = $111.78365×1.02^((150/180))= $113.64363. The bond's flat price =$113.64363－($4.50×150/180)=$109.89363.先算2015年4月1日的债券价格，使用一般复利计算9月1日的债券价格，全价减去应计利息就是净价了。