NO.PZ201701230200000105
问题如下：
5. For Assignment 1, the yield to maturity for Bond Z is closest to the:
选项：
A. one-year spot rate
B. two-year spot rate
C. three-year spot rate
解释：
C is correct.
The yield to maturity, y(3), of Bond Z should be a weighted average of the spot rates used in the valuation of the bond. Because the bond’s largest cash flow occurs in Year 3, r(3) will have a greater weight than r(1) and r(2) in determining y(3).
Using the spot rates:
Price=$60/(1.025)+$60/(1.030)2+$1060/(1.035)3=$1071.16
Using the yield to maturity:
Price=$60/[1+y(3)]+$60/[1+y(3)]2+$1060/[1+y(3)]3=1071.16
Using a calculator, the compute result is y(3)=3.46%, which is closest to the three-year spot rate of
3.5%
计算器步骤怎么求，我算的答案不一样是3.54%
