Yang · 2020年05月17日
问题如下：
Bond D is a 3-year annual pay bond with a coupon rate of 3%.
Alvarez calculates the possible interest rate paths for Bond D shown in the Exhibit below.
Based on the Exhibit, the present value of Bond D’s cash flows following Path 2 is closest to:
选项：
A.97.0322.
B.102.8607.
C.105.8607.
解释：
B is correct.
考点：Interest rate path的理解
解析：
题干给出了4条不同的利率路径，现在需要计算的是在利率路径2下，债券D的价值；利率路径给定的是在不同时间节点的远期利率1-year forward rate，因此我们直接应用远期利率1-year forward rate对债券进行折现；
这道题为什么不用二叉树倒推法呢？
NO.PZ2018123101000062 问题如下 Bonis a 3-yeannupbonwith a coupon rate of 3%. Alvarez calculates the possible interest rate paths for Bonshown in the Exhibit below. Baseon the Exhibit, the present value of Bons cash flows following Path 2 is closest to: 97.0322. 102.8607. 105.8607. B is correct.考点Interest rate path的理解解析题干给出了4条不同的利率路径，现在需要计算的是在利率路径2下，债券价值；利率路径给定的是在不同时间节点的远期利率1-yeforwarrate，因此我们直接应用远期利率1-yeforwarrate对债券进行折现；31.015+3(1.015)×(1.028853)+103(1.015)×(1.028853)×(1.016487)=102.8607\frac3{1.015}+\frac3{(1.015)\times(1.028853)}+\frac{103}{(1.015)\times(1.028853)\times(1.016487)}=102.86071.0153+(1.015)×(1.028853)3+(1.015)×(1.028853)×(1.016487)103=102.8607 然后加三倒推0时刻，结果为102.94，和每笔现金流分别折现(答案中的做法)有区别，请问两种方法都可以用吗还是有区别
NO.PZ2018123101000062 问题如下 Bonis a 3-yeannupbonwith a coupon rate of 3%. Alvarez calculates the possible interest rate paths for Bonshown in the Exhibit below. Baseon the Exhibit, the present value of Bons cash flows following Path 2 is closest to: 97.0322. 102.8607. 105.8607. B is correct.考点Interest rate path的理解解析题干给出了4条不同的利率路径，现在需要计算的是在利率路径2下，债券价值；利率路径给定的是在不同时间节点的远期利率1-yeforwarrate，因此我们直接应用远期利率1-yeforwarrate对债券进行折现；31.015+3(1.015)×(1.028853)+103(1.015)×(1.028853)×(1.016487)=102.8607\frac3{1.015}+\frac3{(1.015)\times(1.028853)}+\frac{103}{(1.015)\times(1.028853)\times(1.016487)}=102.86071.0153+(1.015)×(1.028853)3+(1.015)×(1.028853)×(1.016487)103=102.8607 这里不用spot rate 是因为 spot rate = forwarrate相乘？
NO.PZ2018123101000062 问题如下 Bonis a 3-yeannupbonwith a coupon rate of 3%. Alvarez calculates the possible interest rate paths for Bonshown in the Exhibit below. Baseon the Exhibit, the present value of Bons cash flows following Path 2 is closest to: 97.0322. 102.8607. 105.8607. B is correct.考点Interest rate path的理解解析题干给出了4条不同的利率路径，现在需要计算的是在利率路径2下，债券价值；利率路径给定的是在不同时间节点的远期利率1-yeforwarrate，因此我们直接应用远期利率1-yeforwarrate对债券进行折现；31.015+3(1.015)×(1.028853)+103(1.015)×(1.028853)×(1.016487)=102.8607\frac3{1.015}+\frac3{(1.015)\times(1.028853)}+\frac{103}{(1.015)\times(1.028853)\times(1.016487)}=102.86071.0153+(1.015)×(1.028853)3+(1.015)×(1.028853)×(1.016487)103=102.8607 老师您好，不是很理解怎看出来题目中表格给的都是一年期的远期利率？
NO.PZ2018123101000062 不知道在什么情况下需要把几个rates相乘算 还是直接用题目给的利率算？
