[求助]++++++问一道Fixed income习题+++

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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.

[此贴子已经被作者于2009-1-27 11:24:04编辑过]

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关键词：fixed income Income Fixed Come COM 求助 习题 Income Fixed

我就第三问不会做，哪位知道的给个思路吧，谢谢了

u borrow dirty price*1 million at repo rate 1.67% for one day, so the gain is: accrued interest for one day(because you hold this bond for 1 day) - dirty price * 1 million*1.67%*1/360

hope it's not too late

correct