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华赞 · 2024年10月19日

关于计算

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000090

问题如下：

A $1,000 par corporate bond carries a coupon rate of 6%, pays coupons semiannually, and has ten coupon payments remaining to maturity. Market rates are currently 5%. There are 90 days between settlement and the next coupon payment. The dirty and clean prices of the bond, respectively, are closest to:

选项：

A.

$1,043.76, $1,013.76

B.

$1,043.76, $1,028.76

C.

$1,056.73, $1,041.73

D.

$1,069.70, $1,054.70

解释：

The dirty price of the bond 90 days ago is calculated as N = 10, I/Y = 2.5, PMT = 30, FV = 1,000; CPT→PV = 1,043.76. Adjusting the PV for the fact that there are only 90 days until the receipt of the first coupon, then the dirty price now is 1,043.76 × 1.025(90/180) = 1056.73. Clean price = dirty price – accrued interest = 1056.73 – 30 × (90/180) = 1041.73.

能不能总结一下

1/Y

PV

PMT

FV

这几个题目中会出现的英文表示

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1 个答案

李坏_品职助教 · 2024年10月19日

嗨，爱思考的PZer你好：


这个是按照Texas金融计算器的按键来说的，建议看一下计算器的按键名称。


1/Y是计算器上面的利率，题目说的是Market rates are currently 5%，由于是pays coupons semiannually(半年付息一次)，所以输入计算器的时候，用的数字是1/Y = 2.5 （去掉百分号）。


PV是present value，本题中正是需要求出PV，也就是债券当前的价格。

FV是future value，是债券的本金1000.

PMT是payment，这个是债券每次的利息， = 1000 * 6% / 2 = 30.

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NO.PZ2023091802000090 问题如下 A $1,000 pcorporate boncarries a coupon rate of 6%, payscoupons semiannually, anhten coupon payments remaining to maturity. Marketrates are currently 5%. There are 90 ys between settlement anthe nextcoupon payment. The rty ancleprices of the bon respectively, areclosest to: A.$1,043.76, $1,013.76 B.$1,043.76, $1,028.76 C.$1,056.73, $1,041.73 $1,069.70, $1,054.70 The rty priof the bon90 ys ago is calculateN = 10, I/Y= 2.5, PMT = 30, FV = 1,000; CPT→PV = 1,043.76. Austing the PV for the factththere are only 90 ys until the receipt of the first coupon, then therty prinow is 1,043.76 × 1.025(90/180) = 1056.73. Clepri=rty pri– accrueinterest = 1056.73 – 30 × (90/180) = 1041.73. 老师好。讲义里面有一道差不多的例题当时也没太听明白。折线到couponte = 1043.76 这一步能跟上但为什么settlement te 的try pri= 1043*（1+5%/2)^(2*90/360)呢。往前继续折现不是应该用1043.76/（[1+5%/2)^(2*90/360)]吗？

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