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15627729674 · 2024年05月24日

这题为啥不能考虑用连续复利的方法来计算呀

  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.

这题为啥不能考虑用连续复利的方法来计算呀

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已采纳答案

品职助教_七七 · 2024年05月24日

嗨，爱思考的PZer你好：


1）题目要求计算的是“expected annualized return”，不是“continuously compounded return”。后者才是要求用连续复利来计算。

2）连续复利一般不会出在这类债券题目中，虽然本题没有coupon，但很多债券是有coupon的，如一年一付coupon或者半年一付。对应折现率往往会跟着现金流一致，并不是时时刻刻每分每秒都在计息。

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