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Praam · 2019年11月11日

问一道题：NO.PZ2019052801000034

  1. FRM I
  2. Financial Markets And Products

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？

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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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