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.
这个不能用老师讲的算作持有long term ，r上升 rr大于ytm吗？
