问一道题：NO.PZ2016031001000063

问题如下：

An investor considers the purchase of a 2-year bond with a 5% coupon rate, with interest paid annually. Assuming the sequence of spot rates shown below, the price of the bond is closest to:

选项：

101.93.

102.85.

105.81.

解释：

A is correct.

The bond price is closest to 101.93. The price is determined in the following manner:

$PV=\frac{PMT}{{(1+Z_1)}^1}+\frac{PMT+FV}{{(1+Z_2)}^2}$

where:

PV = present value, or the price of the bond

PMT = coupon payment per period

FV = future value paid at maturity, or the par value of the bond

Z₁= spot rate, or the zero-coupon yield, for Period 1

Z₂= spot rate, or the zero-coupon yield, for Period 2

$PV=\frac5{{(1+0.03)}^1}+\frac{5+100}{{(1+0.04)}^2}$

PV = 4.85 + 97.08 = 101.93

用计算器可以求吗？

N=1,I/Y=3,PMT=5,FV=100,求PV=101.94

如果计算方式无误，那么为何不能N=2,I/Y=4？

添加评论

1 个答案

已采纳答案

吴昊_品职助教 · 2020年02月26日

题干表格中给出的是spot rate，且一年期spot rate和两年期spot rate不相等，因此不可以用计算器来算。计算器只适用于I/Y相同的情况下。这道题只能通过列式求得PV。

添加评论

1
回答
0
关注
741
浏览

我要回答关注问题

相关问题

NO.PZ2016031001000063 问题如下 investor consirs the purchase of a 2-yebonwith a 5% coupon rate, with interest paiannually. Assuming the sequenof spot rates shown below, the priof the bonis closest to: A.101.93. B.102.85. C.105.81. A is correct.The bonpriis closest to 101.93. The priis terminein the following manner:PV=PMT(1+Z1)1+PMT+FV(1+Z2)2PV=\frac{PMT}{{(1+Z_1)}^1}+\frac{PMT+FV}{{(1+Z_2)}^2}PV=(1+Z1)1PMT+(1+Z2)2PMT+FVwhere:PV = present value, or the priof the bonMT = coupon payment per perioV = future value paimaturity, or the pvalue of the bon1= spot rate, or the zero-coupon yiel for Perio1Z2= spot rate, or the zero-coupon yiel for Perio2PV=5(1+0.03)1+5+100(1+0.04)2PV=\frac5{{(1+0.03)}^1}+\frac{5+100}{{(1+0.04)}^2}PV=(1+0.03)15+(1+0.04)25+100PV = 4.85 + 97.08 = 101.93考点Pricing Bon with Spot Rates解析通过未来现金流折现求和，第一年的现金流(5)用S1折现，第二年的现金流(5+100)用S2折现，可得债券价格为101.93，故A正确。题目中的coupon rate 是5%,按年付，说是两年期的bon为什么每一期的coupon 不是5%除以2 呢？这个coupon rate 是年化的概念吗？

2024-05-12 11:27 1 · 回答

NO.PZ2016031001000063 面值100是哪里来的？

2022-03-05 20:55 1 · 回答

我用根号下(1+S1)(1+S2)再-1，求出YTM，然后用计算器算PV，算出来选B，请问这样为什么不对？

2019-05-09 12:42 1 · 回答

有点混了。什么时候用这种算啊？5/1.03+105/(1.03*1.04)

2018-05-09 11:43 1 · 回答

问一道题：NO.PZ2016031001000063

1 个答案

1

0

741

相关问题