就用slow_quick的例子, 感覺我有點象hhtt和slow_quick的助教
麵值$100, 6個月付一次利息
Interest rate = annual coupon rate (由財政部根據auction結果定)= 4.125%
6 month coupon payment = 4.125%*100/2 = $2.0625
0 6m 12m 18m 24m
$2.0625 $2.0625 $2.0625 $2.0625 + $100
High yield (由auction決定)= 年化收益率 = 4.139%
6 month 收益率 = 4.139%/2 = 2.0695%
Price for 2 year treasury notes = 2.0625/(1+0.020695) + 2.0625/1.020695^2+2.0625/1.020695^3+(100+2.0625)/1.020695^4 = $99.973391
由auction產生的High yield決定債券價格。 付$99.973391買麵值$100的兩年債券,每六個月拿利息$2.0625, 若持有兩年, 到期後拿回$100, 年化收益率就是 4.139%。