NO.PZ2023040701000034
问题如下：
Hake begins development on an algorithm that will evaluate government bonds that have been stripped. He tests his logic by evaluating a dollar-denominated Tangoran government bond with a 3.20%, annual pay coupon maturing in three years, using data in Exhibit 1. The bond is quoted in the market at $103.50.
Based on the market price of the Tangoran government bond and the interest rates in Exhibit 1, what profitable arbitrage opportunity should Hake's algorithm most likely identify?
选项：
A.Buying the Year 1 and Year 2 strips and selling the Year 3 strip
Buying the bond and selling the strips
Buying the strips and selling the bond
解释：
Correct Answer: C
The value of the bond's cash flows using spot rates is $103.4816 and is determined as follows:
So, strips could be purchased for $103.4816 and reconstituted into the bond, which could be sold for $103.50, representing an arbitrage opportunity.
coupon为什么不用三年期par rate？
