开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

king · 2023年03月25日

不太明白为什么还要折算Z2

  1. CFA I
  2. Derivative

NO.PZ2021061002000047

问题如下：

A portfolio manager observes the price andYTM of one-year (r1) and two-year ( r2) annual coupon government benchmark bondscurrently available in the market. How the manager can determine a breakevenreinvestment rate in one year’s time to help decide whether to invest now forone 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 inone year’s time.

B.

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

C.

First substitute the one-year rate (r1)into the two-year bond price equation to solve for the two-year spot or zerorate (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。

题目给出的两年期债券利率难道不是0时间点的利率吗？

添加评论
1 个答案

Lucky_品职助教 · 2023年03月25日

嗨，努力学习的PZer你好：


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~

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 290

    浏览
相关问题

NO.PZ2021061002000047 问题如下 A portfolio manager observes the prianTM of one-ye(r1) antwo-ye( r2) annucoupon government benchmark boncurrently available in the market. How the manager ctermine a breakevenreinvestment rate in one year’s time to help ci whether to invest now forone or two years? A.vi the square root of (1 + r2 ) (1 +r1 ) ansubtra1 to arrive a breakeven reinvestment rate for one yeinone year’s time. B.Set (1 +r1) multiplie1 plus thebreakeven reinvestment rate equto (1 + r2) 2 ansolve for the breakevenreinvestment rate. C.First substitute the one-yerate (r1)into the two-yebonpriequation to solve for the two-yespot or zerorate (z2 ), then set (1 + r1 ) × (1 + breakeven reinvestment rate) = (1 + z2 ) 2 ansolve for the breakeven reinvestment rate. 中文解析本题考察的是计算Implieforwarrates(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描述正确。 如题，还有老师能不能讲一下我们是怎么用r1求z2的过程啊

2023-10-14 11:44 1 · 回答

NO.PZ2021061002000047问题如下 A portfolio manager observes the prianTM of one-ye(r1) antwo-ye( r2) annucoupon government benchmark boncurrently available in the market. How the manager ctermine a breakevenreinvestment rate in one year’s time to help ci whether to invest now forone or two years? A.vi the square root of (1 + r2 ) (1 +r1 ) ansubtra1 to arrive a breakeven reinvestment rate for one yeinone year’s time. B.Set (1 +r1) multiplie1 plus thebreakeven reinvestment rate equto (1 + r2) 2 ansolve for the breakevenreinvestment rate. C.First substitute the one-yerate (r1)into the two-yebonpriequation to solve for the two-yespot or zerorate (z2 ), then set (1 + r1 ) × (1 + breakeven reinvestment rate) = (1 + z2 ) 2 ansolve for the breakeven reinvestment rate. 中文解析本题考察的是计算Implieforwarrates(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描述正确。 看了其他回答还是不太明白，请再详细一点，为什么要求z2以及怎么求的？还有零利率这个概念是什么意思

2023-07-26 13:34 1 · 回答

NO.PZ2021061002000047问题如下 A portfolio manager observes the prianTM of one-ye(r1) antwo-ye( r2) annucoupon government benchmark boncurrently available in the market. How the manager ctermine a breakevenreinvestment rate in one year’s time to help ci whether to invest now forone or two years? A.vi the square root of (1 + r2 ) (1 +r1 ) ansubtra1 to arrive a breakeven reinvestment rate for one yeinone year’s time. B.Set (1 +r1) multiplie1 plus thebreakeven reinvestment rate equto (1 + r2) 2 ansolve for the breakevenreinvestment rate. C.First substitute the one-yerate (r1)into the two-yebonpriequation to solve for the two-yespot or zerorate (z2 ), then set (1 + r1 ) × (1 + breakeven reinvestment rate) = (1 + z2 ) 2 ansolve for the breakeven reinvestment rate. 中文解析本题考察的是计算Implieforwarrates(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描述正确。 为什么不能直接(1+r1)(1+X)=(1+r2)^2?

2023-05-09 11:55 1 · 回答

NO.PZ2021061002000047问题如下 A portfolio manager observes the prianTM of one-ye(r1) antwo-ye( r2) annucoupon government benchmark boncurrently available in the market. How the manager ctermine a breakevenreinvestment rate in one year’s time to help ci whether to invest now forone or two years? A.vi the square root of (1 + r2 ) (1 +r1 ) ansubtra1 to arrive a breakeven reinvestment rate for one yeinone year’s time. B.Set (1 +r1) multiplie1 plus thebreakeven reinvestment rate equto (1 + r2) 2 ansolve for the breakevenreinvestment rate. C.First substitute the one-yerate (r1)into the two-yebonpriequation to solve for the two-yespot or zerorate (z2 ), then set (1 + r1 ) × (1 + breakeven reinvestment rate) = (1 + z2 ) 2 ansolve for the breakeven reinvestment rate. 中文解析本题考察的是计算Implieforwarrates(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描述正确。 是因为少说了先求Z2吗

2023-03-25 11:24 1 · 回答