NO.PZ2020011303000205
问题如下：
A bond is worth 103.00. The spot rate for the next six months is 5% per annum (semiannually compounded). What is the carry roll-down using the “forward rates will be realized” assumption?
选项：
A.USD 2.50 per USD 100 of face value
B.USD 2.575 per USD 100 of face value
C.USD 2.60 per USD 100 of face value
D.USD 2.70 per USD 100 of face value
解释：
题目问：债券价格是103，下面6个月的spot rate是5%，半年付息一次，假设forward rate会实现，求carry roll-down。
The carry roll-down is 0.025×103=2.575 or USD 2.5756 per USD 100 of face value.
https://class.pzacademy.com/qa/52189 里举的例子是5年债券，N=10，得出PMT=2.8428，最后得出102.73+2.84-103=2.575
我试了一下用10年债券，N=20，得出来PMT=2.6924，PV=-102.88，最后得出102.88+2.6925-103=2.575
是因为基于这个假设：forward rates will be realized，所以得出来的结论都是一样的吗？
