摇一摇 · 2025年05月11日
NO.PZ2018123101000052
问题如下：
A fixed income analyst, Tam, compiles pricing data for a list of annual pay bonds (Exhibit 1). The bonds will mature in two years, and Tam considers the bonds as being risk-free; both the one-year and two-year benchmark spot rates are 3%.
Based on Exhibit 1, which of the following bonds includes an arbitrage opportunity?
选项：
A.Bond A
B.Bond B
C.Bond C
解释：
B is correct.
考点：无套利定价
解析：
对于Bond B用Spot rate对其进行定价，有：
高于市场价格，因此存在套利空间；Bond A和Bond C定价合理。
A算出来也比市场价格高啊
NO.PZ2018123101000052问题如下 A fixeincome analyst, Tam, compiles pricing ta for a list of annupbon (Exhibit 1). The bon will mature in two years, anTconsirs the bon being risk-free; both the one-yeantwo-yebenchmark spot rates are 3%.Baseon Exhibit 1, whiof the following bon inclus arbitrage opportunity? A.BonAB.BonBC.BonB is correct.考点无套利定价解析对于BonB用Spot rate对其进行定价，有31+3%+103(1+3%)2=100 98.9963\frac3{1+3\%}+\frac{103}{\left(1+3\%\right)^2}=100 98.99631+3%3+(1+3%)2103=100 98.9963高于市场价格，因此存在套利空间；BonA和BonC定价合理。 请问必须算两个以上吗？有没有简便方法？
BonB BonC B is correct. 考点无套利定价 解析 对于BonB用Spot rate对其进行定价，有 31+3%+103(1+3%)2=100>98.9963\frac3{1+3\%}+\frac{103}{\left(1+3\%\right)^2}=100>98.99631+3%3+(1+3%)2103=100>98.9963 高于市场价格，因此存在套利空间；BonA和BonC定价合理。 题干那句benchmark spot rate 3%的调教你有啥用吗？
请问这题是默认fv=100？
算了下bonc也是高一些的
