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.
利率上升，RI上升，sell price降低。还剩两年，sell price 两年的risk较小能够被RI抵消，因此RI上升，总体利率上升？
