收益率为什么不这么算？-有问必答-品职教育专注CFA ESG FRM CPA 考研等财经培训课程

NO.PZ2018123101000027 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.Smith buys a four-year, zero-coupon corporate bonanthen sell it after two years. Smith illustrates the returns from this strategy using the swrate a proxy for corporate yiel. Smith shoulshow a totreturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct.考点考察Ring the yielcurve策略解析由题干已知，Swrate来代替公司债的收益率；四年期的Swsprea差为0.70%，4年期的国债收益率Government spot rate 为4.05%，则4年期的swrate = 4.05% + 0.70% = 4.75%。因此，购买的4年期零息债券的价格为price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058price=(1+0.0475)4100=83.058两年期的公司债收益率为2年期的Swrate, swrate = 2.70% +0.30% = 3%,4年期的零息债券持有2年后的卖出价格为price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260price=(1+0.0300)2100=94.260则这笔投资的年化总收益为94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%83.05894.260−1=0.0653=6.53% 题目里面算出swrate，可以用它来折现？但是课上说swrate是一种prate？prate我理解就是每期现金流/pincipal的一个比率，应该是用来计算分子的？所以swrate到底是什么？为什么可以用来折现算价格？

2024-05-07 07:32 1 · 回答

NO.PZ2018123101000027 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.Smith buys a four-year, zero-coupon corporate bonanthen sell it after two years. Smith illustrates the returns from this strategy using the swrate a proxy for corporate yiel. Smith shoulshow a totreturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct.考点考察Ring the yielcurve策略解析由题干已知，Swrate来代替公司债的收益率；四年期的Swsprea差为0.70%，4年期的国债收益率Government spot rate 为4.05%，则4年期的swrate = 4.05% + 0.70% = 4.75%。因此，购买的4年期零息债券的价格为price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058price=(1+0.0475)4100=83.058两年期的公司债收益率为2年期的Swrate, swrate = 2.70% +0.30% = 3%,4年期的零息债券持有2年后的卖出价格为price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260price=(1+0.0300)2100=94.260则这笔投资的年化总收益为94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%83.05894.260−1=0.0653=6.53% 关于持有两年后的价格计算，为什么不是用f（2,4）来折现，而是用S2来折现呢

2024-04-24 16:50 1 · 回答

NO.PZ2018123101000027 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.Smith buys a four-year, zero-coupon corporate bonanthen sell it after two years. Smith illustrates the returns from this strategy using the swrate a proxy for corporate yiel. Smith shoulshow a totreturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct.考点考察Ring the yielcurve策略解析由题干已知，Swrate来代替公司债的收益率；四年期的Swsprea差为0.70%，4年期的国债收益率Government spot rate 为4.05%，则4年期的swrate = 4.05% + 0.70% = 4.75%。因此，购买的4年期零息债券的价格为price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058price=(1+0.0475)4100=83.058两年期的公司债收益率为2年期的Swrate, swrate = 2.70% +0.30% = 3%,4年期的零息债券持有2年后的卖出价格为price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260price=(1+0.0300)2100=94.260则这笔投资的年化总收益为94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%83.05894.260−1=0.0653=6.53% 相关公式可以写一下吗？

2023-10-30 23:53 1 · 回答

NO.PZ2018123101000027 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.Smith buys a four-year, zero-coupon corporate bonanthen sell it after two years. Smith illustrates the returns from this strategy using the swrate a proxy for corporate yiel. Smith shoulshow a totreturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct.考点考察Ring the yielcurve策略解析由题干已知，Swrate来代替公司债的收益率；四年期的Swsprea差为0.70%，4年期的国债收益率Government spot rate 为4.05%，则4年期的swrate = 4.05% + 0.70% = 4.75%。因此，购买的4年期零息债券的价格为price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058price=(1+0.0475)4100=83.058两年期的公司债收益率为2年期的Swrate, swrate = 2.70% +0.30% = 3%,4年期的零息债券持有2年后的卖出价格为price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260price=(1+0.0300)2100=94.260则这笔投资的年化总收益为94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%83.05894.260−1=0.0653=6.53% 为什么2年后的卖出价格，不是用加上sprea的f(2,2)来折现100求得？

2023-09-17 00:08 1 · 回答

NO.PZ2018123101000027 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.Smith buys a four-year, zero-coupon corporate bonanthen sell it after two years. Smith illustrates the returns from this strategy using the swrate a proxy for corporate yiel. Smith shoulshow a totreturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct.考点考察Ring the yielcurve策略解析由题干已知，Swrate来代替公司债的收益率；四年期的Swsprea差为0.70%，4年期的国债收益率Government spot rate 为4.05%，则4年期的swrate = 4.05% + 0.70% = 4.75%。因此，购买的4年期零息债券的价格为price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058price=(1+0.0475)4100=83.058两年期的公司债收益率为2年期的Swrate, swrate = 2.70% +0.30% = 3%,4年期的零息债券持有2年后的卖出价格为price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260price=(1+0.0300)2100=94.260则这笔投资的年化总收益为94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%83.05894.260−1=0.0653=6.53% 本题两个问题1.题目中没有说明spot rate曲线不变，是否应该增加此条件后题目才算严谨？2.求totreturn也要进行年化吗？什么情况下不需要年化呀？

2023-08-21 21:34 1 · 回答

收益率为什么不这么算？

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