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alexanderwang · 2023年07月26日

请问使用12年、FV 100和使用3年、FV95.25，站在今天购买者的角度来说有什么不一样

  1. CFA I
  2. Quantitative

NO.PZ2023052407000005

问题如下：

Consider a Swiss Confederation zero-coupon bond with a par value of CHF100, a remaining time to maturity of 12 years and a price of CHF89. In three years’ time, the bond is expected to have a price of CHF95.25. If purchased today, the bond’s expected annualized return is closest to:

选项：

A.

0.58 percent.

B.

1.64 percent.

C.

2.29 percent.

解释：

C is correct. The FV of the bond is CHF95.25, the PV is CHF89, and the number of annual periods (t) is 3.

2.29 percent=(95.25/89)1/3-1

A is incorrect as the result is derived using t of 12. B is incorrect as this result is derived using a PV of CHF95.25 and an FV of 100.

为什么不能使用FV100、12年计算呢，谢谢

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王10 · 2023年10月19日

按照FV100、12年计算为什么不行。就是也可以按照fv95.25，3年或者fv100，12年算。

2 个答案

星星_品职助教 · 2023年10月19日

@王10

这个就是原回复中解释的问题。可直接参照原回复。

星星_品职助教 · 2023年07月26日

同学你好，

如果使用到期时的par value进行计算，则根本无需给出后续的债券售价。题目说完第一句就可以直接要求计算了。假如是这种情况，一般要求计算的是yield to maturity（YTM）。

本题中特意给出三年后的债券价格，显然是要根据这个条件来算的。且要求计算的是expected annualized return，不是YTM。

旭东 · 2023年10月03日

个人感觉，这道题出得或许有歧义。如果限定一下， the bond’s expected annualized return的time frame是 the first three years，这道题在理解上就会顺了很多。

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