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Hull, J. C. (2022). Options, Futures, and Other Derivatives (11th Ed.).

Chapter 6 - Interest Rate Futures.

question 7

Description

It is May 5, 2021. The quoted price of a government bond with a 12% coupon
that matures on July 27, 2034, is 110-17. What is the cash price?

Solution

Imports

from datetime import datetime
import math
import QuantLib
import pandas as pd

Code

def solve_question_7():
    current_date = datetime(2021, 5, 5)

    quoted_price = 110 + 17 / 32

    maturity_date = datetime(2034, 7, 27)

    coupon = 12

    date_bgn = datetime(2021, 1, 27)

    period1 = (current_date - date_bgn).days

    date_end = datetime(2021, maturity_date.month, maturity_date.day)

    period2 = (date_end - date_bgn).days

    accrued_interest = (coupon / 2) * period1 / period2

    cash_price = quoted_price + accrued_interest

    return cash_price