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花儿。 · 2023年12月27日

理解题意有误

  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.

为什么我理解的是如果此时买入，剩下的9年expected return  我用的是N=9，PV=95.25，FV=100，PMT=0，求Y

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1 个答案

品职助教_七七 · 2023年12月27日

嗨，从没放弃的小努力你好：


这道题的“a remaining time to maturity of 12 years”说明了此时买入（ If purchased today），则距离债券到期应还有12年。不是9年。

“In three years’ time”指的是三年后。也就是此时买入的价格为89，3年后的expected price预期为95.25。求这个背景下的expected return。所以，时间段应该是从现在开始到三年后这一段的关系。

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