NO.PZ2022061303000032
问题如下:
Using the following US Treasury forward rates, the value of a 2.5-year $100 par value Treasury bond with a 5% coupon rate is closest to:
选项:
A.$104.87. B.$101.52. C.$106.83.解释:
C is correct. The value of the bond is
A is incorrect because it treats the forward rates as spot rates.
B is incorrect because it does not divide the forward rates by two.
考点:利用远期利率求债券价值
解析:通过未来现金流折现求和,可得债券价值为106.83。注意,债券半年付息一次,因此coupon rate和forward rate都需要去年化。
折现率为什么用(1+IFR/2+...)的方式来计算