FRM 2011V4 Part 1 Qn 15

Discussion in 'P1.T3. Financial Markets & Products (30%)' started by qin841121, May 9, 2012.

  1. qin841121

    qin841121 Member

    The yield curve is upward sloping, you have a short tbond interest rate futures position. The following bonds are eligible for delivery.

    Bonds Spot Price Conversion Factor Coupon Rate
    A 102.44 0.98 4%

    The future price is 103-17/32 and the maturity date of contract is sept 1. The bond pay their coupon amount semi annually on June 30 and December 31.

    The working
    Cost bond A = 102.44-(103.53*.98)=.98

    My question: Why didn't they consider the accrued interest of the Bond (the dirty price)? I thought we need to consider that?

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