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James · 2024年02月14日

discount margin？

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000032

问题如下：

A two-year Italian floating-rate note pays three-month Euribor of –0.50% plus 250 bp. The floater is priced at 99 per 100 of par value. Assuming the 30/360 day-count convention and evenly spaced periods, the discount margin for the floater is closest to:

选项：

A.

201 bps

B.

251 bps

C.

300 bps

解释：

The discount margin for the floater is closest to 300 bps. Using the information provided, the periodic PMT is equal to

Using PV = –99, FV = 100, PMT = 0.5, and N = 8, we solve for the discount rate per period of 0.628562%. The discount margin can be estimated by solving for DM:


这个概念在哪里有呀？

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1 个答案

吴昊_品职助教 · 2024年02月15日

嗨，从没放弃的小努力你好：


这个概念出现在浮动利率债券这里。

discount margin，也叫做required margin，是构成分母折现率的一部分，加在reference rate的基础上。

相对应的概念是quoted margin，是构成分子coupon rate的一部分，同样也是加在reference rate的基础上。

回到这道题，现在要我们计算的是DM，也就是先要算出分母折现率，然后再反求出DM。

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