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Nicole Cai · 2023年09月02日

老师 能不能全部解释下

  1. CFA I
  2. Quantitative

NO.PZ2023052407000001

问题如下：

Grupo Ignacia issued 10-year corporate bonds two years ago. The bonds pay an annualized coupon of 10.7 percent on a semiannual basis, and the current annualized YTM is 11.6 percent. The current price of Grupo Ignacia’s bonds (per MXN100 of par value) is closest to:

选项：

A.

MXN95.47

B.

MXN97.18

C.

MXN95.39

解释：

C is correct. The coupon payments are 5.35 (=10.7/2), the discount rate is 5.8 percent (=11.6%/2) per period, and the number of periods is 16 (=8×2). Using Equation 6, the calculation is as follows:


Alternatively, using the Microsoft Excel or Google Sheets PV function (PV(0.058,16,5.35,100,0)) also yields a result of MXN95.39.

A is incorrect. MXN95.47 is the result when incorrectly using coupon payments of 10.7, a discount rate of 11.6 percent, and 8 as the number of periods.

B is incorrect. MXN97.18 is the result when using the correct semiannual coupons and discount rate, but incorrectly using 8 as the number of periods.

老师 能不能全部解释 这题的解法

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2 个答案

品职助教_七七 · 2024年03月28日

嗨，从没放弃的小努力你好：


@Brayden 该债券面值（par value）为100的意思，即到期日会付给投资者100的本金。反应在计算器按键上就是FV=100

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努力的时光都是限量版，加油！

星星_品职助教 · 2023年09月04日

同学你好，

1）债券价格为未来现金流折现求和，根据本题描述。“未来现金流”还有8年，由于半年计息一次，则还有16期（N=16）。

2）由于计息频率为半年。所以将年化的I/Y复原为半年利率，得到I/Y=11.6/2=5.8。同理，coupon rate复原后为10.7%/2，由此得到每期支付的coupon（PMT）为100×10.7%/2=5.35。

3）期末支付的本金（FV）=100

根据上述条件，直接按计算器CPT PV=-95.3892.

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提问请：

1）具体标明不会的地方；

2）如果整道题都毫无思路，可复习基础班相关内容后再重新做题。以本题为例，基础班讲过非常类似的题目。

Brayden · 2024年03月26日

你好老师，能不能解释一下题目里的“per MXN100 of par value"的具体意思是什么？

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