问题如下:
A fixed income analyst, Tam, compiles pricing data for a list of annual pay bonds (Exhibit 1). The bonds will mature in two years, and Tam considers the bonds as being risk-free; both the one-year and two-year benchmark spot rates are 3%.
Based on Exhibit 1, which of the following bonds includes an arbitrage opportunity?
选项:
A.Bond A
B.Bond B
C.Bond C
解释:
B is correct.
考点:无套利定价
解析:
对于Bond B用Spot rate对其进行定价,有:
高于市场价格,因此存在套利空间;Bond A和Bond C定价合理。
请问这题是默认fv=100?