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Olivia.W🌸 · 2024年07月15日

discount margin rate跟required margin rate是一个东西么？

  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:


discount margin rate跟required margin rate是一个东西么？

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1 个答案

吴昊_品职助教 · 2024年07月15日

嗨，从没放弃的小努力你好：


discount margin和required margin是一回事。决定的都是浮动利率债券的分母。

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努力的时光都是限量版，加油！

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