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All main topics / Finance & Investment / Derivatives / Derivatives
It is May 1. The quoted price of a bond with an Actual/Actual (in period) day count and 12% per annum coupon (paid semiannually) in the United States is 105. It has a face value of 100 and pays coupons on April 1 and October 1. What is the cash price?
B. 106.02
D.  106.04
Answer: C

The cash price is the quoted price plus accrued interest. There are 30 actual days between April 1 and May 1 and 183 actual days between April 1 and October 1.  In this case the quoted price is 105 and the accrued interest is 0.06×100×30/183=0.98. The answer is therefore 105.98.
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Flashcard info:
Author: CoboCards-User
Main topic: Finance & Investment
Topic: Derivatives
Published: 27.10.2015




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