coupon rate 小于 历年的spot rate，所以折价债券，小于面值的选项只有一个，能这样考虑吗？

问题如下：

Bond B has a time-to-maturity of 3 years. The interests are paid annually and coupon rate for bond B is 6%.

The spot rates are shown as below:

Calculate the price of Bond B based on spot rates.

选项：

A.

102.3

B.

100.0

C.

92.6

解释：

C is correct

$PV = {PMT\over (1+0.07)}+{PMT\over (1+0.08)^2}+{PMT+PAR\over (1+0.09)^3} = {6\over (1+0.07)}+{6\over (1+0.08)^2} +{6+100\over (1+0.09)^3}=92.6$

PV =92.6

考点：Pricing Bonds with Spot Rates

解析：通过未来现金流折现求和，第一年的现金流(6)用S₁ (7%)折现，第二年的现金流(6)用S₂ (8%)折现，第三年的现金流(100+6)用S₃ (9%)折现，可得债券价格为92.6，故选项C正确。