NO.PZ2023100703000083
问题如下：
A market risk manager seeks to calculate the price of a two-year zero-coupon bond. The one-year interest rate today is 10.0%. There is a 50% probability that the interest rate will be 12.0% and a 50% probability that it will be 8.0% in one year. Assuming that the risk premium of duration risk is 50 basis points each year, and that the face value is EUR 1000, which of the following should be the price of the zero-coupon bond?选项：
A.EUR 822.98 B.EUR 826.44 C.EUR 826.72 D.EUR 921.66解释：
V(2yr zero)=(50%(1/1.125+1/1.085)/1.10)*EUR 1000=EUR 822.976解释下题目然后讲一下呗
