问一道题：NO.PZ2016082406000034

NO.PZ2016082406000034 Equbetween the two coupon perio Greater in the seconsix-month periothin the first Cannot terminefrom the information provi ANSWER: A First, we compute the current yielon the six-month bon whiis selling a scount. We solve for y* suth99=1041+y∗20099\text{=}\frac{104}{1+\frac{y\ast}{200}}99=1+200y∗​104​ anfiny∗=10.10%y\ast\text{=}10.10\%y∗=10.10%. Thus the yielsprefor the first bonis 10.1-5.5=4.6%10.1\text{-}5.5\text{=}4.6\%10.1-5.5=4.6%. The seconbonis par, so the yielis y∗=9%y\ast\text{=}9\%y∗=9%. The sprefor the seconbonis   9-6=3%\;9\text{-}6\text{=}3\%9-6=3%. The fault rate for the first periomust greater. The recovery rate is the same for the two perio, so it es not matter for this problem.我们求出来的是secon or remaining 6-month，这个和first 6-month有什么关系啊？

NO.PZ2016082406000034 Equbetween the two coupon perio Greater in the seconsix-month periothin the first Cannot terminefrom the information provi ANSWER: A First, we compute the current yielon the six-month bon whiis selling a scount. We solve for y* suth99=1041+y∗20099\text{=}\frac{104}{1+\frac{y\ast}{200}}99=1+200y∗​104​ anfiny∗=10.10%y\ast\text{=}10.10\%y∗=10.10%. Thus the yielsprefor the first bonis 10.1-5.5=4.6%10.1\text{-}5.5\text{=}4.6\%10.1-5.5=4.6%. The seconbonis par, so the yielis y∗=9%y\ast\text{=}9\%y∗=9%. The sprefor the seconbonis   9-6=3%\;9\text{-}6\text{=}3\%9-6=3%. The fault rate for the first periomust greater. The recovery rate is the same for the two perio, so it es not matter for this problem.请问这里为什么是y*/200?为什么是200呢

NO.PZ2016082406000034 Suppose XYZ Corp. htwo bon paying semiannually accorng to the following table: The recovery rate for eain the event of fault is 50%. For simplicity, assume theabonwill fault only the enof a coupon perio The market-implierisk-neutrprobability of fault for XYZ Corp. is Greater in the first six-month periothin the seconEqubetween the two coupon perio Greater in the seconsix-month periothin the first Cannot terminefrom the information provi ANSWER: A First, we compute the current yielon the six-month bon whiis selling a scount. We solve for y* suth99=1041+y∗20099\text{=}\frac{104}{1+\frac{y\ast}{200}}99=1+200y∗​104​ anfiny∗=10.10%y\ast\text{=}10.10\%y∗=10.10%. Thus the yielsprefor the first bonis 10.1-5.5=4.6%10.1\text{-}5.5\text{=}4.6\%10.1-5.5=4.6%. The seconbonis par, so the yielis y∗=9%y\ast\text{=}9\%y∗=9%. The sprefor the seconbonis   9-6=3%\;9\text{-}6\text{=}3\%9-6=3%. The fault rate for the first periomust greater. The recovery rate is the same for the two perio, so it es not matter for this problem. 我还以为是假设1个月付息一次，一年假设360天，然后计算量巨大

Suppose XYZ Corp. htwo bon paying semiannually accorng to the following table: The recovery rate for eain the event of fault is 50%. For simplicity, assume theabonwill fault only the enof a coupon perio The market-implierisk-neutrprobability of fault for XYZ Corp. is Greater in the first six-month periothin the seconEqubetween the two coupon perio Greater in the seconsix-month periothin the first Cannot terminefrom the information provi ANSWER: A First, we compute the current yielon the six-month bon whiis selling a scount. We solve for y* suth99=1041+y∗20099\text{=}\frac{104}{1+\frac{y\ast}{200}}99=1+200y∗​104​ anfiny∗=10.10%y\ast\text{=}10.10\%y∗=10.10%. Thus the yielsprefor the first bonis 10.1-5.5=4.6%10.1\text{-}5.5\text{=}4.6\%10.1-5.5=4.6%. The seconbonis par, so the yielis y∗=9%y\ast\text{=}9\%y∗=9%. The sprefor the seconbonis   9-6=3%\;9\text{-}6\text{=}3\%9-6=3%. The fault rate for the first periomust greater. The recovery rate is the same for the two perio, so it es not matter for this problem. 老师好，这道题我感觉不用考虑那么复杂，感觉都没有考YTM-Rf≈P(1-RR)这个知识点。题目问题问的是XYZ这家公司的违约概率是在上半年高还是下半年高。XYZ公司一共包含了两个债券，第一个A债券只有半年，在第6个月付一次息，第二个B债券是一年，分别在第6个月和1年末付息；而题目还提到了在付息的时候可能会发生违约，那么其实在第6个月的时候，XYZ这家公司违约的概率就是A违约B不违约+B违约A不违约+AB都违约，而在1年末的违约概率是B违约，这样一比较，肯定是在第6个月的时候要更高吧？之前有个同学这么理解的，我觉得很在理，想问问老师这么理解是不是正确的

Suppose XYZ Corp. htwo bon paying semiannually accorng to the following table: The recovery rate for eain the event of fault is 50%. For simplicity, assume theabonwill fault only the enof a coupon perio The market-implierisk-neutrprobability of fault for XYZ Corp. is Greater in the first six-month periothin the seconEqubetween the two coupon perio Greater in the seconsix-month periothin the first Cannot terminefrom the information provi ANSWER: A First, we compute the current yielon the six-month bon whiis selling a scount. We solve for y* suth99=1041+y∗20099\text{=}\frac{104}{1+\frac{y\ast}{200}}99=1+200y∗​104​ anfiny∗=10.10%y\ast\text{=}10.10\%y∗=10.10%. Thus the yielsprefor the first bonis 10.1-5.5=4.6%10.1\text{-}5.5\text{=}4.6\%10.1-5.5=4.6%. The seconbonis par, so the yielis y∗=9%y\ast\text{=}9\%y∗=9%. The sprefor the seconbonis   9-6=3%\;9\text{-}6\text{=}3\%9-6=3%. The fault rate for the first periomust greater. The recovery rate is the same for the two perio, so it es not matter for this problem. 请问公式中，y*/200是什么意思呢