Shuangshuang · 2021年04月07日
NO.PZ2020011303000186
问题如下：
If spot rates are as follow, what are par rates for one, two, and three years with semi-annual compounding?
解释：
The one-year par rate is
2×100×(1－0.965898) / (0.985222+ 0.965898)=3.4957
Similarly, the two and three-year par rates are 3.9871% and 4.1822%.
有par ，pv就等于fv？NO.PZ2020011303000186 问题如下 If spot rates are follow, whare prates for one, two, anthree years with semi-annucompounng? The one-yeprate is2×100×(1－0.965898) / (0.985222+ 0.965898)=3.4957Similarly, the two anthree-yeprates are 3.9871% an4.1822%. 题目问已知半年付息一次的不同期限的spot rate，求1,2,3年期的半年付息一次的prate。 半年的 scount factor =1/(1+3%/2)=0.985222 一年的 scount factor = 1/(1+3.5%/2)2 =0.9658981 年prate/2 * 0.985222 + (1年prate/2+100) *0.965898 = 100一年期的prate=3.4957同理计算出2年的prate=3.9871% 3年的prate=4.1822%. 为什么要先求直接用spot rate 来算可不可以
NO.PZ2020011303000186 问题如下 If spot rates are follow, whare prates for one, two, anthree years with semi-annucompounng? The one-yeprate is2×100×(1－0.965898) / (0.985222+ 0.965898)=3.4957Similarly, the two anthree-yeprates are 3.9871% an4.1822%. 题目问已知半年付息一次的不同期限的spot rate，求1,2,3年期的半年付息一次的prate。 半年的 scount factor =1/(1+3%/2)=0.985222 一年的 scount factor = 1/(1+3.5%/2)2 =0.9658981 年prate/2 * 0.985222 + (1年prate/2+100) *0.965898 = 100一年期的prate=3.4957同理计算出2年的prate=3.9871% 3年的prate=4.1822%.
NO.PZ2020011303000186问题如下If spot rates are follow, whare prates for one, two, anthree years with semi-annucompounng? The one-yeprate is2×100×(1－0.965898) / (0.985222+ 0.965898)=3.4957Similarly, the two anthree-yeprates are 3.9871% an4.1822%. 题目问已知半年付息一次的不同期限的spot rate，求1,2,3年期的半年付息一次的prate。 半年的 scount factor =1/(1+3%/2)=0.985222 一年的 scount factor = 1/(1+3.5%/2)2 =0.9658981 年prate/2 * 0.985222 + (1年prate/2+100) *0.965898 = 100一年期的prate=3.4957同理计算出2年的prate=3.9871% 3年的prate=4.1822%. 怎么看出这道题债券的价格是100
您好 请问一下这个答案是怎么来的呢？
