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温酒 · 2025年04月02日

这题都不用算

NO.PZ2018123101000049

问题如下:

Exhibit 3 presents most of the data of a binomial lognormal interest rate tree. Exhibit 4 presents most of the data of the implied values for a four-year, option-free, annual pay bond with a 2.5% coupon based on the information in Exhibit 3.

Based on the information in Exhibits 3 and 4, the bond price in euros at Node 1–2 in Exhibit 4 is to:

选项:

A.

102.7917

B.

104.8640

C.

105.2917

解释:

A is correct.

考点:考察利用利率二叉树定价

解析: 想要得到节点1-2的债券价值,用到的数据有:该节点右边的数据,即节点2-2,节点2-3的债券价值和Coupon,以及第一年末至第二年的Forward rate。通过对未来债券价值的折现求得该节点1-2的债券价值:

value = {2.5+(0.5×101.5168+0.5×102.1350)} / 1.014925 = 102.7917

因为node里面不包含2.5的coupon,所以有一个迷惑项必是包含2.5coupon的选项,找一个扣掉2.5的选项能对上就好了

1 个答案

吴昊_品职助教 · 2025年04月02日

嗨,爱思考的PZer你好:


你的这个想法的确很巧妙,使用了巧劲,应对这道题是可以的。

但是我个人建议还是要学会二叉树节点的折现(因为这个是我们后面几个章节都要用到的基础技能)。还有一个是以免考试的时候没有这么巧合的选项出现。就像这道题中A选项+2.5刚好等于C选项。

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NO.PZ2018123101000049 问题如下 Exhibit 3 presents most of the ta of a binomilognorminterest rate tree. Exhibit 4 presents most of the ta of the implievalues for a four-year, option-free, annupbonwith a 2.5% coupon baseon the information in Exhibit 3.Baseon the information in Exhibits 3 an4, the bonpriin euros No 1–2 in Exhibit 4 is to: A.102.7917 B.104.8640 C.105.2917 A is correct.考点考察利用利率二叉树定价解析: 想要得到节点1-2的债券价值,用到的数据有该节点右边的数据,即节点2-2,节点2-3的债券价值和Coupon,以及第一年末至第二年的Forwarrate。通过对未来债券价值的折现求得该节点1-2的债券价值value = {2.5+(0.5×101.5168+0.5×102.1350)} / 1.014925 = 102.7917 为什么只加了一个2.5?

2024-04-21 22:54 1 · 回答

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2022-07-31 18:10 1 · 回答

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