NO.PZ2023091701000011
问题如下：
You have been asked to check for arbitrage opportunities in the Treasury bond market by comparing the cash flows of selected bonds with the cash flows of combinations of other bonds. If a 1-year zero-coupon bond is priced at USD 96.12 and a 1-year bond paying a 10% coupon semi-annually is priced at USD 106.20, what should be the price of a 1-year Treasury bond that pays a coupon of 8% semiannually?
选项：
A.USD 98.10
B.USD 101.23
C.USD 103.35
D.USD 104.18
解释：
The solution is to replicate the 1 year 8% bond using the other two treasury bonds. In order to replicate the cash flows of the 8% bond, you could solve a system of equations to determine the weight factors, Fland F2, which correspond to the proportion of the zero and the 10% bond to be held, respectively.
The two equations are as follows:
(100 × F1) + (105 × F2) = 104 (replicating the cash flow including principal and interest payments at the end of 1 year), and (5 × F2) = 4 (replicating the cash flow from the coupon payment in 6 months.)
Solving the two equations gives us Fl = 0.2 and F2 = 0.8. Thus the price of the 8% bond should be 0.2 (96.12) + 0.8 (106.2) = 104.18.
老师好，这道题，我用spot rate的方式也算了一遍，但是算不出，S0.5是负数，正常情况应该复制方法和spot rate方法都可以计算出结果，且两个结果一样吧？
