来自：FRM > 一级 > Financial Markets and Products 2022-11-15 02:11
这道题请老师帮忙解答下谢谢！
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136****8891
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476天前
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136****8891
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24
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476天前
liuxuyao 2022-11-15 14:50
致精进的你:
同学，这个题目是dollar roll的惯用考查形式，没印象的话可以回顾一下课程哈。Value of a dollar roll = A − B + C − D Accrued interest is calculated for each month as: 10/30 × 0.05/12 × $1 million = $1,389. Therefore, A is $1,036,389 and B = $1,027,389. The funds received from the sale in month 1 will earn interest at 0.2%. Therefore, C = $1,036,389 × 0.002 = $2,073. For D, assume that the coupon and principal payments foregone were 0.5% of par value. Therefore, D = $1 million × 0.005 = $5,000. The value of the dollar roll = $1,036,389 − $1,027,389 + $2,073 − $5,000 = $6,073.
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