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Hcying🌬 · 2022年12月06日

计算出I/Y＝5.31%以后，求YTM

  1. CFA I
  2. Corporate Issuers

NO.PZ2016021705000022

问题如下：

Dot.Com has determined that it could issue $1,000 face value bonds with an 8 percent coupon paid semi-annually and a five-year maturity at $900 per bond. If Dot.Com’s marginal tax rate is 38 percent, its after-tax cost of debt is closest to:

选项：

A.

6.2 percent.

B.

6.4 percent.

C.

6.6 percent.

解释：

C is correct.

FV = $1,000; PMT = $40; N = 10; PV = -$900

Solve for i. The six-month yield, i, is 5.3149%

YTM = 5.3149% × 2 = 10.62985%

r d (1−t) = 10.62985%(1−0.38) = 6.5905% rd(1 − t) = 10.62985%(1 − 0.38) = 6.5905%

为什么不是YTM＝（1+I/Y）^2－1呢？
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2 个答案

王琛_品职助教 · 2022年12月11日

嗨，从没放弃的小努力你好：


为啥按单利算不是复利呢

可以认为是惯例

其实关于 YTM，主要是在固收学科介绍的，如果同学还有疑问，可以参考固收学科基础班第三章 LM3 Introduction to Fixed-Income valuation 的第一个视频：Bond Pricing with a Market Discount Rate and Yield to Maturity (YTM)

何老师专门有提到，关于利率的处理，如果一年的年化是 6%，半年付息一次的话，半年就是 3%，直接用一年的利率除以 2 即可，不用再考虑货币的时间价值等

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王琛_品职助教 · 2022年12月08日

嗨，爱思考的PZer你好：


因为是按照「单」利，而不是复利处理哈

所以半年付息一次的话，计算出来的折现率，要乘以 2，即得到 YTM

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Hcying🌬 · 2022年12月08日

为啥按单利算不是复利呢

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