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albee · 2024年06月28日

为什么没有在4.5和5.5年的位置赎回这一说?

NO.PZ2023052301000031

问题如下:

An analyst is analyzing a six-year callable bond with a semiannual coupon of 2.50% trading at a price of 98.90 per 100 par value and the following call schedule:


选项:

解释:

The correct yield values matched with the corresponding yield measures are presented in the following table:


Calculation of yield-to-first call:


Calculation of yield-to-second call:


Calculation of yield-to-maturity:


4.5年赎回的FV是101.5 N是9,这不能算是第二次赎回吗?

1 个答案

吴昊_品职助教 · 2024年06月28日

嗨,爱思考的PZer你好:


我们在callable bond这里,默认是整年末赎回,不会在半年位置赎回的。(这相当于一种简化)

这个债券是一个六年期的债券,call schedule意味着提前还款。如果5-6对应的是Year 6的话,那就不存在提前还款一说了,而是持有至到期了。所以4-5 years对应的就是Year 4而不是Year 5,同样,5-6 years对应的就是Year 5而不是Year 6.

因此,4-5 years也就是在第四年赎回,一共有八笔现金流;5-6 years是在第五年年末赎回,一共有十笔现金流。

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