问题如下:
2. Based on Exhibits 1 and 2, the exchange that reflects the arbitrage-free price of the bond is:
选项:
A.Eurex.
B.Frankfurt.
C.NYSE Euronext.
解释:
C is correct.
The bond from Exhibit 1 is selling for its calculated value on the NYSE Euronext exchange. The arbitrage-free value of a bond is the present value of its cash flows discounted by the spot rate for zero coupon bonds maturing on the same date as each cash flow. The value of this bond, 103.7815, is calculated as follows:
Notes:
1. Spot rates calculated using bootstrapping; for example: Year 2 spot rate ( Z2 ):
2. Present value calculated using the formula ,where n= number of years until cash flow, FV= cash flow amount, and r= spot rate.
A is incorrect because the price on the Eurex exchange, €103.7956, was calculated using the yield to maturity rate to discount the cash flows when the spot rates should have been used. C is incorrect because the price on the Frankfurt exchange, €103.7565, uses the Year 3 spot rate to discount all the cash flows.
老师这道题我知道考点是bootstrapping, 如果我用YTM直接做IY=1.7, N=3, PMT=3, FV=100. 如果这样做的话问题在哪里?