开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

洪铭泉 · 2024年08月07日

未来还剩两年怎么看出来的

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000041

问题如下：

An investor purchases an eight-year, 6.4% annual coupon eurobond priced at par and sells it after six years. Assuming interest rates rise by 100 bps immediately after purchase, the investor’s rate of return at the end of six years is:

选项：

A.

lower than 6.4%.

B.

equal to 6.4%.

C.

higher than 6.4%.

解释：

A is correct. The future value of reinvested coupon interest is

= FV(0.074,6,6.4,0,0) = 46.245.

The sale price of the bond at the end of six years is

= PV(0.074,2,6.40,100,0) = 98.202,

which results in a six-year horizon yield of 6.32%, which is lower than 6.40%:


B and C are incorrect, because interest rates have risen and the investor’s investment horizon is not long enough to offset the price decline with additional reinvestment return.

六年后卖出的价格sell price是未来现金流折现求和：未来还剩两年，N=2；YTM=7.4；PMT=6.4；最后面值FV=100，折现得到PV=98.202

添加评论
1 个答案

吴昊_品职助教 · 2024年08月08日

嗨，爱思考的PZer你好：


An investor purchases an eight-year，这句话代表这个债券期限一共是八年。

the investor’s rate of return at the end of six years is，现在要我们计算的是站在第六年末的收益率。

一共八年，站在第六年末，债券未来还剩有两年的存续期。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 1

    关注

  • 149

    浏览
相关问题

NO.PZ2023052301000041 问题如下 investor purchases eight-year, 6.4% annucoupon eurobonpricepansells it after six years. Assuming interest rates rise 100 bps immeately after purchase, the investor’s rate of return the enof six years is: A.lower th6.4%. B.equto 6.4%. C.higher th6.4%. A is correct. The future value of reinvestecoupon interest is= FV(0.074,6,6.4,0,0) = 46.245.The sale priof the bonthe enof six years is= PV(0.074,2,6.40,100,0) = 98.202,whiresults in a six-yehorizon yielof 6.32%, whiis lower th6.40%:B anC are incorrect, because interest rates have risen anthe investor’s investment horizon is not long enough to offset the pricline with aitionreinvestment return. https://class.pzacamy.com/qa/155511以上链接的计算步骤很清楚了，属于审题没有搞懂。 第一步计算的金额coupon都已经付掉了， 算价值不应该包含进去了吧， 为什么计算时候还有这道题的解题思路是什么，背步骤很困惑

2024-10-05 17:38 1 · 回答

NO.PZ2023052301000041问题如下 investor purchases eight-year, 6.4% annucoupon eurobonpricepansells it after six years. Assuming interest rates rise 100 bps immeately after purchase, the investor’s rate of return the enof six years is: A.lower th6.4%.B.equto 6.4%.C.higher th6.4%. A is correct. The future value of reinvestecoupon interest is= FV(0.074,6,6.4,0,0) = 46.245.The sale priof the bonthe enof six years is= PV(0.074,2,6.40,100,0) = 98.202,whiresults in a six-yehorizon yielof 6.32%, whiis lower th6.40%:B anC are incorrect, because interest rates have risen anthe investor’s investment horizon is not long enough to offset the pricline with aitionreinvestment return. 利率上升，RI上升，sell price降低。还剩两年，sell pri两年的risk较小能够被RI抵消，因此RI上升，总体利率上升？

2024-09-12 10:10 1 · 回答

NO.PZ2023052301000041问题如下 investor purchases eight-year, 6.4% annucoupon eurobonpricepansells it after six years. Assuming interest rates rise 100 bps immeately after purchase, the investor’s rate of return the enof six years is: A.lower th6.4%.B.equto 6.4%.C.higher th6.4%. A is correct. The future value of reinvestecoupon interest is= FV(0.074,6,6.4,0,0) = 46.245.The sale priof the bonthe enof six years is= PV(0.074,2,6.40,100,0) = 98.202,whiresults in a six-yehorizon yielof 6.32%, whiis lower th6.40%:B anC are incorrect, because interest rates have risen anthe investor’s investment horizon is not long enough to offset the pricline with aitionreinvestment return. 这个不能用老师讲的算作持有long term ，r上升 rr大于ytm吗？

2024-08-07 22:24 2 · 回答

NO.PZ2023052301000041问题如下 investor purchases eight-year, 6.4% annucoupon eurobonpricep(settlement: 15 June 2031; maturity: 15 cember 2039) ansells it after six years. Assuming interest rates rise 100 bps immeately after purchase, the investor’s rate of return the enof six years is: A.lower th6.4%.B.equto 6.4%.C.higher th6.4%. A is correct. The future value of reinvestecoupon interest is= FV(0.074,6,6.4,0,0) = 46.245.The sale priof the bonthe enof six years is= PV(0.074,2,6.40,100,0) = 98.202,whiresults in a six-yehorizon yielof 6.32%, whiis lower th6.40%:B anC are incorrect, because interest rates have risen anthe investor’s investment horizon is not long enough to offset the pricline with aitionreinvestment return. 这道题好难呀.老师可以详细讲解一下吗

2024-03-26 20:37 1 · 回答