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Praam · 2019年11月11日

问一道题:NO.PZ2019052801000034

问题如下:

Assume that the annual continuously compounded spot rates are: Z1=5%,Z_1=5\%, Z2=5.1%,Z_2=5.1\%, Z3=5.2%,Z_3=5.2\%,The 1.5-year  bond has a $100 face value, 6% semiannual coupon payment. Calculate  the bond price:  

选项:

A.

$98.34.

B.

$99.73.

C.

$100.52.

D.

$101.36.

解释:

D is correct.

考点:Interest Rate

解析:

$$\(\begin{array}{l}B=3\times e^{\lbrack{(-0.05/2)}\times1\rbrack}+3\times e^{\lbrack{(-0.051/2)}\times2\rbrack}+103\times e^{\lbrack{(-0.052/2)}\times3\rbrack}\\=2.93+3.16+95.27=\$101.36\end{array}\)$$

请问老师,使用的连续折现利率为什么分别用Z1、Z2、Z3年化折现?


比如说第一年末的coupon,为什么不直接用e^Z1来折现,为什么要用(Z2/2)*2这种方式年化呢?

1 个答案

orange品职答疑助手 · 2019年11月12日

同学你好,我觉得这题出的不太好,Z1、Z2、Z3分别代表 t=0.5,1,1.5时期的年化利率,才比较合理

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