题目
The Treasury bond futures contract allows the party with the short position to choose to deliver any bond that has a maturity between 15 and 25 years. Assume a certain bond that is valid for delivery matures in 15 years and two months (15.1667 years) and has a coupon rate of 9.0% payable semi-annually. Which is nearest the bond's conversion factor (CF)?
选项
A.0.8530
B.1.0420
C.1.1380
D.1.2940
答案
D
解析
First, we round the maturity down to the nearest three months; in this case, the rounded maturity is 15.0 years. So this turns out to be the simpler case: "If, after rounding, the bond lasts for an exact number of 6-month periods, the first coupon is assumed to be paid in 6 months.“We simply price this bond assuming the yield is 6.0%: N = 30, I/Y = 3, PMT = 4.5, FV = 100 and CPT PV = $129.4007 such that the CF = 1.2940这道题求解的是近似值。首先，四舍五入的期限是15.0年，每六个月支付一次利息。为这个债券定价，假设收益率为6.0%：N = 30, I/Y = 3, PMT = 4.5, FV = 100, CPT PV = 129.4007，这样CF = 1.2940