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Amelilian · 2025年05月18日

一般题目怎么说的时候,不考虑Coupon,就是还没有Coupon的情况。

NO.PZ2018120301000002

问题如下:


Based on Exhibit 1, the rolling yield of Aschel over a one-year investment horizon is closest to:

选项:

A.

2.56%

B.

0.54%

C.

5.66%

解释:

B is correct. The rolling yield is the sum of the coupon income and the rolldown return. Coupon income is the sum of the bond’s annual current yield and interest on reinvestment income. Cécile assumes that there is no reinvestment income for any of the three funds, and the yield income for Aschel will be calculated as follows:

Coupon income = Annual average coupon payment/Current bond price = $3.63/$117.00 = 0.0310, or 3.10%.

The rolldown return is equal to the bond’s percentage price change assuming an unchanged yield curve over the horizon period. The rolldown return will be calculated as follows:



Rolling yield = Coupon income + Rolldown return = 3.10% – 2.56% = 0.54%.

一年内?还没有Coupon的时候?

1 个答案

发亮_品职助教 · 2025年05月19日

这个债券expected return五分解模型,都需要考虑coupon。因为他是把债券的收益来源故意分成了5块内容,第一块就是coupon income = annual coupon / initial bond price


注意给的标准公式里面就是annual coupon,所以这个公式基本都是默认投资期为完整的1年。

如果是零息债券的话,annual coupon=0,所以这一项的数值为0。并不意味着不考虑coupon income哈。


然后需要注意,roll down return = (p1 - p0)/p0

rolling yield = roll down return + coupon income

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