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洪铭泉 · 2024年08月07日

PMT为什么不是2.5%-0.5%=2% 2%*100=2

  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:


PV = –99, FV = 100, PMT = 0.5, and N = 8

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品职答疑小助手雍 · 2024年08月07日

同学你好，因为这个债券是3个月付息一次的，所以是2%再除以4

得到0.5

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