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标题: Bond's Dirty Price [打印本页]

作者: sweetgirl 时间: 2011-7-11 17:47 标题: Bond's Dirty Price

Can anyone help me with this question: (please show your workings as well)

A $1,000 par value, semiannual coupon bond has a coupon rate of 5% and is quoted at 101+12/32nds percent of part with settlement date on April 8th. The next coupon will be paid on July 15th (98 days after the settlement date). Given there are 181 days between January 15 and July 15 and using an "actual days/actual days" convention, the bond's full invoice price (dirty price) is closest to:

A. $1,022.66
B. $1,025.21
C. $1,027.29

Thanks a lot

Edited 1 time(s). Last edit at Sunday, May 16, 2010 at 04:10AM by shita29.

作者: cyber21 时间: 2011-7-11 17:47

Hey I think the ans is B : $ 1025.21

Calc: Dirty price = Clean Price + Accrued Interest
= [ $1000* (101.375)] + (83/181* $1000*5%*1/2)
= $ 1025.21

Note : 83 days are from Jan 15 (last coupon date) to the Apr 8 (settlement date)

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