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Weike · 2024年04月30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:


为什么不能用[360/90]*[（100-90）/100]

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1 个答案

吴昊_品职助教 · 2024年04月30日

嗨，努力学习的PZer你好：


discount margin和discount rate是两回事，不是一个概念，不要混淆了。

1、现在题干要我们求的是浮动利率债券的discount margin，也就是分母折现率中的spread部分。浮动利率债券的Discount rate = reference rate + required margin (or discount margin)，你可以参考基础班讲义P181的例题。


2、而你列的公式，是货币市场工具收益率中的discount rate，是一个折价率，相当于在债券面值的基础上打了一个折扣。

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