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一只可爱的猪 · 2021年04月19日

关于计算方法

  1. CFA II
  2. Fixed Income

NO.PZ2016022702000007

问题如下：

A one-year zero-coupon bond yields 4.0%. The two- and three-year zero-coupon bonds yield 5.0% and 6.0% respectively.

The five-year spot rate is not given above; however, the forward price for a two-year zero-coupon bond beginning in three years is known to be 0.8479. The price today of a five-year zero-coupon bond is closest to:

选项：

A.

0.7119.

B.

0.7835.

C.

0.9524.

解释：

A is correct.

1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396

The forward pricing model can be used to find the price of the five-year zero as

P(T*+T)=P(T*)F(T*,T), SO P(5)=P(3)F(3,2)= 0.8396 x 0.8479 = 0.7119.

考点：forward pricing model

首先将即期利率转化成即期价格P(3)= 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396。通过forward pricing model得到五年期零息债券的价格，即P(T*+T)=P(T*)F(T*,T)，所以P(5)=P(3)×F(3,2)=0.8396×0.8479=0.7119。

为什么 我先算出S5,用1/(1+S5)^5,算出来不是同一个呢？

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2 个答案

WallE_品职答疑助手 · 2021年04月20日

嗨，从没放弃的小努力你好：


那就是您没有理解这个公式背后的含义，因为公式本身就是有逻辑的。


而且麻烦您把你的计算过程放上来，如果您能正确的算出S5 那么这道题就能得到正确的答案，您既然算出来和答案不对付，说明你自己本身算的就是错误的。



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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

WallE_品职答疑助手 · 2021年04月19日

嗨，爱思考的PZer你好：


这道题的考点就是forward pricing model。通过spot rate和forward rate之间的关系可以得知：[(1+S3)^3]*[1+f(3,2)]^2=(1+S5)^5，然后我们等号两边取倒数，就得到P(3)*F(3,2)=P(5)。其中题目中给出已知条件是F(3,2)=0.8479，P(3)=1/[(1+S3)^3]=1/(1.06)^3=0.8396。所以就能求得P(5)=0.7119

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

一只可爱的猪 · 2021年04月20日

老师，这就要死记硬背公示了，但是我想从原理上理解！请正面回答我的问题哈

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NO.PZ2016022702000007 问题如下 A one-yezero-coupon bonyiel 4.0%. The two- anthree-yezero-coupon bon yiel5.0% an6.0% respectively.The five-yespot rate is not given above; however, the forwarprifor a two-yezero-coupon bonbeginning in three years is known to 0.8479. The pritoy of a five-yezero-coupon bonis closest to: A.0.7119. B.0.7835. C.0.9524. A is correct. 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31​=0.8396The forwarpricing mol cuseto finthe priof the five-yezero P(T*+T)=P(T*)F(T*,T), SO P(5)=P(3)F(3,2)= 0.8396 x 0.8479 = 0.7119.考点forwarpricing mol首先将即期利率转化成即期价格P(3)= 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31​=0.8396。通过forwarpricing mol得到五年期零息债券的价格，即P(T*+T)=P(T*)F(T*,T)，所以P(5)=P(3)×F(3,2)=0.8396×0.8479=0.7119。 如题

2024-07-19 16:33 1 · 回答

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NO.PZ2016022702000007 P(3)=1/[(1+S3)^3]=1/(1.06)^3=0.8396 为什么要这么算？ 具体在哪个视频里有讲解？

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