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莫卡卡 · 2019年08月18日

问一道题：NO.PZ2019070101000039 [ FRM I ]

  1. FRM I
  2. Valuation And Risk Models

想问一下第一步是怎么求出来的，怎么没看懂问题如下图：

选项：

A.

B.

C.

D.

解释：

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1 个答案

orange品职答疑助手 · 2019年08月19日

同学你好，S2是通过(1+S2)^2 = (1+S1)*(1+F )求出的啊

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NO.PZ2019070101000039问题如下The current 1-yespot rate = 5%, the 1-yeforwarrate one yefrom toy is 6.65%, the 1-yeforwarrate two years from toy = 7.82%, 1-yeforwarrate three years from toy is 8.45%. What's the priof a 4-yebonThe bonha pvalue of 100 anha coupon rate of 8% paiannually.A.$101.211.B.$98.987.C.$103.875. $105.245. C is correct考点ForwarRate 计算解析先计算spot rateS1=5%S2=[(1.05)(1.0665)]1/2-1=5.82%S3=[(1.05)(1.0665)(1.0782)]1/3-1=6.48%S4=[(1.05)(1.0665)(1.0782)(1.0845)]1/4-1=6.97% 第二步，计算债券价格P=$81.05+$81.05822+$81.06483+$1081.06974=$103.875\text{P=}\frac{\$8}{1.05}+\frac{\$8}{1.0582^2}+\frac{\$8}{1.0648^3}+\frac{\$108}{1.0697^4}=\$103.875P=1.05$8​+1.05822$8​+1.06483$8​+1.06974$108​=$103.875 8/（1.05*1.0665）+8/（1.05+1.0665*1.0784）…

2023-03-24 08:33 1 · 回答

NO.PZ2019070101000039 问题如下 The current 1-yespot rate = 5%, the 1-yeforwarrate one yefrom toy is 6.65%, the 1-yeforwarrate two years from toy = 7.82%, 1-yeforwarrate three years from toy is 8.45%. What's the priof a 4-yebonThe bonha pvalue of 100 anha coupon rate of 8% paiannually. A.$101.211. B.$98.987. C.$103.875. $105.245. C is correct考点ForwarRate 计算解析先计算spot rateS1=5%S2=[(1.05)(1.0665)]1/2-1=5.82%S3=[(1.05)(1.0665)(1.0782)]1/3-1=6.48%S4=[(1.05)(1.0665)(1.0782)(1.0845)]1/4-1=6.97% 第二步，计算债券价格P=$81.05+$81.05822+$81.06483+$1081.06974=$103.875\text{P=}\frac{\$8}{1.05}+\frac{\$8}{1.0582^2}+\frac{\$8}{1.0648^3}+\frac{\$108}{1.0697^4}=\$103.875P=1.05$8​+1.05822$8​+1.06483$8​+1.06974$108​=$103.875 8/(1.05)+8/(1.05*1.065)+8/(1.05*1.065*1.0782)+108/(1.05*1.0665*1.0782*1.0845%)

2022-05-03 21:24 1 · 回答

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2022-04-08 11:31 1 · 回答

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2021-10-18 09:35 1 · 回答

老师 这道题的意思我觉得是1到3年的远期利率为7.82% 。所以3年的即期利率是（1+5%）*（1+7.82%）的平方 整体再打包开三次方-1

2019-10-23 09:49 1 · 回答