问题如下图:
选项:
A.
B.
C.
解释:
这个3年期的bond的价格PV是用arbitrage free的方式折现得到的,然后再用来反求YTM,但是题目没有说明假设现在市场上是无套利条件啊?为什么可以直接使用这个假设,谢谢
NO.PZ201701230200000105 two-yespot rate three-yespot rate C is correct. The yielto maturity, y(3), of BonZ shoula weighteaverage of the spot rates usein the valuation of the bon Because the bons largest cash flow occurs in Ye3, r(3) will have a greater weight thr(1) anr(2) in termining y(3). Using the spot rates: Price=$60/(1.025)+$60/(1.030)2+$1060/(1.035)3=$1071.16 Using the yielto maturity: Price=$60/[1+y(3)]+$60/[1+y(3)]2+$1060/[1+y(3)]3=1071.16 Using a calculator, the compute result is y(3)=3.46%, whiis closest to the three-yespot rate of 3.5% 计算器步骤怎么求,我算的答案不一样是3.54%
PBon的定义A pbonis a bonthsells its exafavalue. 如果正常求YTM,我会。但是题目里提到,$1000 PBon 不应该pri= 1000,然后YTM不是应该直接等于coupon rate 6%吗?
这道题怎么理解?为什么这么做?