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皓月 · 2023年02月13日

第一小问中不考虑swap吗？

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201701230200000201

问题如下：

1. In his presentation of Investment 1, Smith could show that under the no-arbitrage principle, the forward price of a one-year government bond to be issued in one year is closest to:

选项：

A.

0.9662.

B.

0.9694.

C.

0.9780.

解释：

B is correct.

The forward pricing model is based on the no-arbitrage principle and is used to calculate a bond’s forward price based on the spot yield curve. The spot curve is constructed by using annualized rates from option-free and default risk-free zero-coupon bonds.

Equation 2: p(T*+T)=P(T*)F(T*,T); we need to solve for F(1,1).

P(1)=1/(1+0.0225) and p(2)=1/(1+0.0270)2,

F(1,1)=P(2)/P(1)=0.9481/0.9780=0.9694.

我用的是 2.25%+0.25% 和 2.7%+0.3%

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吴昊_品职助教 · 2023年02月14日

嗨，从没放弃的小努力你好：


swap spread，本质上也是一种溢价。swap spread=swap rate-government bond yield。在国债收益了的基础上加上这个溢价之后，就变成了swap rate。

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努力的时光都是限量版，加油！

吴昊_品职助教 · 2023年02月13日

嗨，努力学习的PZer你好：


不需要的，本题要我们求的是forward price，远期价格是远期利率而来。而远期利率可以直接从即期利率spot rate推导得到。所以用到的就是government spot rate。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ201701230200000201 问题如下 1. In his presentation of Investment 1, Smith coulshow thunr the no-arbitrage principle, the forwarpriof a one-yegovernment bonto issuein one yeis closest to: A.0.9662. B.0.9694. C.0.9780. B is correct. The forwarpricing mol is baseon the no-arbitrage principle anis useto calculate a bons forwarpribaseon the spot yielcurve. The spot curve is constructeusing annualizerates from option-free anfault risk-free zero-coupon bon.Equation 2: p(T*+T)=P(T*)F(T*,T); we neeto solve for F(1,1).P(1)=1/(1+0.0225) anp(2)=1/(1+0.0270)2,F(1,1)=P(2)/P(1)=0.9481/0.9780=0.9694. 他只说a one-yegovernment的FP，我怎么判断是f(1,1)还是f（2,1）呢？不是一般都说从哪年开始的几年期么，这题是如何体现是f(1,1)的暗示的

2022-08-30 10:06 1 · 回答

NO.PZ201701230200000201 算远期利率这个样的公式我会，但是直接用这个公式算价格，有点没有懂

2022-02-05 19:09 1 · 回答

NO.PZ201701230200000201 0.9694. 0.9780. B is correct. The forwarpricing mol is baseon the no-arbitrage principle anis useto calculate a bons forwarpribaseon the spot yielcurve. The spot curve is constructeusing annualizerates from option-free anfault risk-free zero-coupon bon. Equation 2: p(T*+T)=P(T*)F(T*,T); we neeto solve for F(1,1). P(1)=1/(1+0.0225) anp(2)=1/(1+0.0270)2, F(1,1)=P(2)/P(1)=0.9481/0.9780=0.9694.请问这里不考虑swsprea？

2021-11-10 22:45 1 · 回答

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