问一道题：NO.PZ2018062010000016

问题如下：

Gustave is a fund manager. He is considering adding a 2-year bond in his portfolio with a 7% coupon rate and par value is 100. The inerest of the bond is paid annually. Assuming 1-year's and 2-year's spot rate are 4% and 5% now respectively, the price of the bond is closest to:

选项：

103.78.

102.85.

105.81.

解释：

A is correct.

The bond price is closest to 103.78.

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

$PV=\frac7{{(1+0.04)}^1}+\frac{100+7}{{(1+0.05)}^2}$

PV = 6.73 + 97.05 = 103.78

想问下，什么情况下，需要得出现值时，需要将现金流除以每年的spot？

例如这一题，什么情况下需要把第二年的现金流107除以（1+4%）（1+5%）？

有点混乱了，谢谢！！

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1 个答案

WallE_品职答疑助手 · 2020年10月08日

同学您好，

非含权债券，未来现金流折现求现值的时候，直接用spot rate折现就可以。

需要将现金流除以每年的spot，只有在含权债券求现值（二叉树求含全债现值的时候）除以的是一年一年的forward rate，这是CFA 二级的考点。

没有用spot rate 一年一年往前的折的情况。

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NO.PZ2018062010000016 问题如下 Gustave is a funmanager. He is consiring aing a 2-yebonin his portfolio with a 7% coupon rate anpvalue is 100. The inerest of the bonis paiannually. Assuming 1-year's an2-year's spot rate are 4% an5% now respectively, the priof the bonis closest to: A.103.78. B.102.85. C.105.81. A is correct. The bonpriis closest to 103.78. 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+FVPV=7(1+0.04)1+100+7(1+0.05)2PV=\frac7{{(1+0.04)}^1}+\frac{100+7}{{(1+0.05)}^2}PV=(1+0.04)17+(1+0.05)2100+7PV = 6.73 + 97.05 = 103.78考点bonprice解析通过现金流折现求和可得债券价格为103.78 如题

2022-05-21 16:48 1 · 回答

问一道题：NO.PZ2018062010000016

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