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jay1180 · 2022年12月08日

不太懂。。解析是啥意思》

  1. CFA I
  2. Derivative

NO.PZ2021061002000047

问题如下：

A portfolio manager observes the price and YTM of one-year (r1) and two-year ( r2) annual coupon government benchmark bonds currently available in the market. How the manager can determine a breakeven reinvestment rate in one year’s time to help decide whether to invest now for one or two years?

选项：

A.

Divide the square root of (1 + r2 ) by (1 + r1 ) and subtract 1 to arrive at a breakeven reinvestment rate for one year in one year’s time.

B.

Set (1 +r1) multiplied by 1 plus the breakeven reinvestment rate equal to (1 + r2) 2 and solve for the breakeven reinvestment rate.

C.

First substitute the one-year rate (r1) into the two-year bond price equation to solve for the two-year spot or zero rate (z2 ), then set (1 + r1 ) × (1 + breakeven reinvestment rate) = (1 + z2 ) 2 and solve for the breakeven reinvestment rate.

解释：

中文解析：

本题考察的是计算Implied forward rates(IFR)。

即题干说的：观察到市场上现有的一年期(r1)和两年(r2)年期国债的收益率，想确定一年内的盈亏平衡再投资率。

考察的公式为：


基于此公式，只有C选项描述正确。

RT

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1 个答案

Lucky_品职助教 · 2022年12月09日

嗨，爱思考的PZer你好：


C选项：首先将一年期利率（r1）代入两年期债券价格方程，以求解两年期即期或零利率（z2），然后让（1+r1）×（1+盈亏平衡再投资利率）=（1+z2）^2，求解盈亏平衡的再投资利率。

相当于从一年期利率和两年期利率，倒挤算出中间一年的再投资利率~

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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