解析前面的分数分母少个1+

NO.PZ2022062755000010

问题如下：

A market risk manager seeks to calculate the price of a 2-year zero-coupon bond. The 1-year interest rate today is 10.0%. There is a 50% probability that the 1-year interest rate will be 12.0% and a 50% probability that it will be 8.0% in 1 year. Assuming the risk premium of duration risk is 50 bps each year, and the bond’s face value is EUR 1,000, which of the following is the correct price of the zero-coupon bond?

选项：

EUR 822.98

EUR 826.74

EUR 905.30

EUR 921.66

解释：

中文解析：

A is correct.

The value of the 2-year zero-coupon bond = (50%(1/(1.12+0.05)+1/(1.08+0.05))/1.10)*EUR 1,000 = EUR 822.976

解析前面的分数分母少个1+

添加评论

1 个答案

pzqa39 · 2024年03月06日

嗨，爱思考的PZer你好：

50bp=0.5%=0.005

2年0息债券现金流，在t1 时：

V1= 50%(1000/(1.12+0.005)+1000/(1.08+0.005))

折现到t0 :

V0=V1/1.1= EUR 822.976

谢谢你的反馈已修改

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

添加评论

1
回答
0
关注
219
浏览

我要回答关注问题

相关问题

NO.PZ2022062755000010 问题如下 A market risk manager seeks to calculate the priof a 2-yezero-coupon bon The 1-yeinterest ratetoy is 10.0%. There is a 50% probability ththe 1-yeinterest rate will 12.0% ana 50% probability thit will 8.0% in 1 year. Assuming the risk premium of ration risk is 50 bps eayear, anthe bons favalue is EUR 1,000, whiof the following is the correpriof the zero-coupon bon A.EUR 822.98 B.EUR 826.74 C.EUR 905.30 EUR 921.66 A is correct. 50bp=0.5%=0.0052年0息债券现金流，在t1 时V1= 50%(1000/(1.12+0.005)+1000/(1.08+0.005))折现到t0 :V0=V1/1.1= EUR 822.976 Assuming the risk premium of ration risk is 50 bps eayear虽然选对了，但是为啥折现到0时刻的时候10%不加上50bp？

2024-04-29 23:37 1 · 回答

解析前面的分数分母少个1+

1 个答案

1

0

219

相关问题