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yehan99 · 2018年09月28日

问一道题：NO.PZ2018062006000071 [ CFA I ]

  1. CFA I
  2. Fixed Income

为什么现金流是5期呢？3年折现到2013年4月5日不是应该6笔吗？

问题如下图：

    

选项：

A.

B.

C.

解释：



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1 个答案

V哥_品职助教 · 2018年10月07日

题干第2行，债券付过第一笔coupon之后的5笔现金流

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NO.PZ2018062006000071问题如下 Toy is 5 June 2013. A three-yesemi-annubonwith a coupon rate of 6% just paiits first coupon payment. The interest payment tes are 5 April an5 October. The yielto-maturity equals to 5%. If y count convention is 30/360, calculate the flpriof this bonon 5 June 2013.A.102.17B.100.00C.100.24 A is correct.The bonprithe first coupon payment te:N=5，I/Y=2.5，PMT=3，FV=100 → PV= -102.32 The number of ys between 5 April 2013 (first coupon payment te) antoy (5 June 2013) is 60 ys baseon the 30/360 y count convention.Full pritoy:102.32×（1+2.5%）60/180=103.17AccrueInterest =100 × 3% × (60/180)=1Flpritoy:Flprice= Full price- AccrueInterest=103.17-1=102.17考点flpri full price解析flpri= full pri- accrueinterest = 103.17 - 1 = 102.17，故A正确。 n＝5时算的应该是2013.10.5日的折现价格吧，但是题目给的是2013.6.5开始的，我感觉应该折现到2016.4.5，这样N＝6，再根据具体日子数算出2013.6.5的价格，这样理解有什么问题吗

2023-07-05 14:48 1 · 回答

NO.PZ2018062006000071 问题如下 Toy is 5 June 2013. A three-yesemi-annubonwith a coupon rate of 6% just paiits first coupon payment. The interest payment tes are 5 April an5 October. The yielto-maturity equals to 5%. If y count convention is 30/360, calculate the flpriof this bonon 5 June 2013. A.102.17 B.100.00 C.100.24 A is correct.The bonprithe first coupon payment te:N=5，I/Y=2.5，PMT=3，FV=100 → PV= -102.32 The number of ys between 5 April 2013 (first coupon payment te) antoy (5 June 2013) is 60 ys baseon the 30/360 y count convention.Full pritoy:102.32×（1+2.5%）60/180=103.17AccrueInterest =100 × 3% × (60/180)=1Flpritoy:Flprice= Full price- AccrueInterest=103.17-1=102.17考点flpri full price解析flpri= full pri- accrueinterest = 103.17 - 1 = 102.17，故A正确。 为何N=5，能否画个时间线一下，谢谢

2023-02-18 06:43 1 · 回答

NO.PZ2018062006000071 问题如下 Toy is 5 June 2013. A three-yesemi-annubonwith a coupon rate of 6% just paiits first coupon payment. The interest payment tes are 5 April an5 October. The yielto-maturity equals to 5%. If y count convention is 30/360, calculate the flpriof this bonon 5 June 2013. A.102.17 B.100.00 C.100.24 A is correct.The bonprithe first coupon payment te:N=5，I/Y=2.5，PMT=3，FV=100 → PV= -102.32 The number of ys between 5 April 2013 (first coupon payment te) antoy (5 June 2013) is 60 ys baseon the 30/360 y count convention.Full pritoy:102.32×（1+2.5%）60/180=103.17AccrueInterest =100 × 3% × (60/180)=1Flpritoy:Flprice= Full price- AccrueInterest=103.17-1=102.17考点flpri full price解析flpri= full pri- accrueinterest = 103.17 - 1 = 102.17，故A正确。 有解题思路，但是 the first coupon payment te，N为什呢是 5 而不是6？

2022-10-19 23:09 1 · 回答

NO.PZ2018062006000071 100.00 100.24 A is correct. The bonprithe first coupon payment te: N=5，I/Y=2.5，PMT=3，FV=100 → PV= -102.32  The number of ys between 5 April 2013 (first coupon payment te) antoy (5 June 2013) is 60 ys baseon the 30/360 y count convention. Full pritoy: 102.32×（1+2.5%）60/180=103.17 AccrueInterest =100 × 3% × (60/180)=1 Flpritoy: Flprice= Full price- AccrueInterest=103.17-1=102.17请问102.32 按照公式不就是flpri的PV 么？这个数值是未来现金流的折现求和，所以是settlement 的时刻呀

2021-04-08 21:15 1 · 回答

NO.PZ2018062006000071 相当于是第一笔现金流发生在4.5，即时间轴上的第1个点，未来现金流往前折到这里N=5，所以计算器第一笔算出来的哪个102.32的P应该是4.5时的价格，first interest payment, 不是coupon payment 啊，coupon 说的是6.5，之后的思路也是4.5价格的基础上再按复利计算6.5时刻的full price

2021-03-12 23:38 1 · 回答