NO.PZ2018123101000049
问题如下:
Exhibit 3 presents most of the data of a binomial lognormal interest rate tree. Exhibit 4 presents most of the data of the implied values for a four-year, option-free, annual pay bond with a 2.5% coupon based on the information in Exhibit 3.
Based on the information in Exhibits 3 and 4, the bond price in euros at Node 1–2 in Exhibit 4 is to:
选项:
A.102.7917
B.104.8640
C.105.2917
解释:
A is correct.
考点:考察利用利率二叉树定价
解析: 想要得到节点1-2的债券价值,用到的数据有:该节点右边的数据,即节点2-2,节点2-3的债券价值和Coupon,以及第一年末至第二年的Forward rate。通过对未来债券价值的折现求得该节点1-2的债券价值:
value = {2.5+(0.5×101.5168+0.5×102.1350)} / 1.014925 = 102.7917
NO.PZ2018123101000049
问题如下:
Exhibit 3 presents most of the data of a binomial lognormal interest rate tree. Exhibit 4 presents most of the data of the implied values for a four-year, option-free, annual pay bond with a 2.5% coupon based on the information in Exhibit 3.
Based on the information in Exhibits 3 and 4, the bond price in euros at Node 1–2 in Exhibit 4 is to:
选项:
A.
102.7917
B.
104.8640
C.
105.2917
解释:
A is correct.
考点:考察利用利率二叉树定价
解析: 想要得到节点1-2的债券价值,用到的数据有:该节点右边的数据,即节点2-2,节点2-3的债券价值和Coupon,以及第一年末至第二年的Forward rate。通过对未来债券价值的折现求得该节点1-2的债券价值:
value = {2.5+(0.5×101.5816+0.5×102.1350)} / 1.014925 = 102.7917
按照何老师课程里讲的,求node要加上当期coupon,求value则不用,为什么这里求node却不用加上当期coupon?