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Sofia nice · 2025年04月06日

set in arrears啥意思呀

NO.PZ2018123101000078

问题如下:

Hsu also selects the two floating-rate bonds issued by Varlep, plc given in the table below. These bonds have a maturity of three years and the same credit rating.

To value Varlep’s bonds, Hsu constructs the binomial interest rate tree provided in the exhibit below:

The value of Bond #7 is to:

选项:

A.

99.697% of par.

B.

99.936% of par.

C.

101.153% of par.

解释:

A is correct.

考点:利用二叉树模型对浮动利率债券进行估值

解析:

注意因为Bond 7具有利率顶(Capped at 5.00%),所以高于5的coupon是取不到了,因此高于5的Coupon需要调整到5。如下图红色所示:

set in arrears啥意思呀

1 个答案

吴昊_品职助教 · 2025年04月07日

嗨,从没放弃的小努力你好:


set in arrears的意思是利率期末设定,对应的概念是set in advance,意思是利率期初设定。

表格里面两个债券:

Bond 7:年付,利率是 1-year Libor(设定于每年年末),但最高不超过 5%;

Bond 8:年付,利率也是年末设定的 1-year Libor,但最低不少于 3.5%。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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