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Veronica0073 · 2024年08月17日

请问一下为什么要用forward rate来求RI收益，以及为什么算realized return的时候直接用141.87

  1. CFA II
  2. Fixed Income

NO.PZ2023040701000001

问题如下：

Bird is analyzing a newly issued, US Treasury bond with a five year maturity and a 7.00% coupon. The bond was issued at a price of 101.15. The bond’s yield to maturity at issuance was 6.72%. Bird is evaluating this bond for long term investors who intend to buy this bond and hold it to maturity. Her analysis is based on an expectation that the future path of interest rates follows that which is implied by the forward curve. Current spot rates and extrapolated one year forward rates are provided in Exhibit 1.

Based on the data provided in Exhibit 1 and assuming that Bird's interest rate expectation materializes, the realized return for the US Treasury bond if held to maturity would most likely be:

选项：

A.

less than the yield to maturity.

B.

equal to the yield to maturity.

C.

greater than the yield to maturity.

解释：

Correct Answer: C

The realized return would be greater than the yield to maturity “YTM” because the coupons would be reinvested at forward rates which increase and eventually exceed the YTM since the spot curve is upward sloping. The YTM can be a poor estimate of expected return if interest rates are volatile and if the yield curve is steeply sloped (up or down). YTM assumes that all reinvestment of coupons is made at the assumed rate, which is the YTM. The present value of the bond is 101.15. The future value of the bond assuming that all coupons are reinvested at the forward rates is 141.87. The annualized realized return is 7.0%, which is greater than the 6.72% yield to maturity.

141.87是不是par+RI income那coupon在哪里？还是说41.87是算上每一期coupon的一个滚动投资收益

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1 个答案

品职答疑小助手雍 · 2024年08月20日

嗨，努力学习的PZer你好：


是的，41.87是按照forward rate再投资的滚动收益到期末的价值。 因为forward代表的是未来某段时间的利率，且coupon也是在未来一些时间取得的， 所以coupon的再投资利率可以用forward rate。

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