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AroDing · 2025年05月21日

The periodic PMT is equal to: (0.025+0.008)×100/4 = 0.825

  1. CFA I
  2. Fixed Income

NO.PZ2023120801000054

问题如下：

A fixed-income portfolio manager is looking to value a one-year US dollar– denominated floating-rate note that has quarterly payments based on 90-day MRR plus 80 bps. Assume the following information:

  • 90-Day MRR: 2.5%
  • Quoted Margin: 80 bps
  • Discount Margin: 100 bps
  • Face Value: USD100
The price of the FRN is closest to:

选项：

A.

98.804

B.

99.804

C.

100.804

解释：

Correct Answer: B

The periodic PMT is equal to: (0.025+0.008)×100/4 = 0.825

The assumed discount rate per period is equal to 0.875%. r = (0.025+0.01)/4 = 0.00875

“100/4”是什麼意思呢？


The assumed discount rate per period is equal to 0.875%. r = (0.025+0.01)/4 = 0.00875


“乘1/4”又是什麼什麼意思呢？

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1 个答案

笛子_品职助教 · 2025年05月21日

嗨，努力学习的PZer你好：


年利率是r = (0.025+0.01)。

这是90天付息一次，一期是1/4年，因此需除以4，得出一期的折现率。


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