curve

问题如下：

An analyst gathers the following information about a spot curve. If the coupon rate of a 3-year annual-pay bond is 4%, the price of the bond is closest to:

选项：

A.97.28

B.99.86

C.100.00

解释：

The price of a bond can be calculated using the following formula:

PV = 4/(1+0.06) + 4/(1+0.05)² + (4+100)/(1+0.04)³ = 4/1.06 + 4/1.1025 + 104/1.1249 = 3.77358+ 3.62812 + 92.4556 = 99.8573 ≈ 99.86.

考点：spot rate

解析：债券一年付息一次，前两年的现金流为coupon=4，第三年的现金流为coupon+本金=104，第一年的现金流用S₁(6%)折现，第二年的现金流用S₂(5%)折现，第三年的现金流用S₃(4%)折现，将折现值求和即可。