Assuming the risk premium of duration risk is 40 bps each year,

问题如下：

A market risk manager seeks to calculate the price of a 2-year zero-coupon bond. The 1-year interest rate today is 8.0%. There is a 50% probability that the 1-year interest rate will be 10.0% in 1 year and a 50% probability that it will be 6.0% in 1 year. Assuming the risk premium of duration risk is 40 bps each year, and the bond’s face value is EUR 1,000, which of the following should be the price of the zero-coupon bond?

选项：

A.

EUR 822.98

B.

EUR 854.47

C.

EUR 905.30

D.

921.66

解释：

中文解析：

We can find the price of the 2-year zero-coupon bond by using a binomial tree as follows:

To find the value at date 0, we must first find the expected value of the price on date 1:

and then discount this by the rate at date 0: