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请教一道fixed income题

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发表于 2009-1-27 10:47:00 | 只看该作者

请教一道fixed income题

Consider the US T-Bond with coupon 4.625% and maturity date 05/15/2006.

1.compute the accrued interest of that bond on 01/07/2002.

2.Its quoted price was 101.0625 on 01/07/2002. Caculate its yield to maturity.What's the equivalent annual yield to maturity?

3. Knowing that the repo rate for that bond was 1.67% on 01/07/2002, caculate the daily net funding cost

 or gain for an investor that is long $1 million of that bond.

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