问题如下:
Assume that the annual continuously compounded spot rates are: 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?