孙璐 · 2021年05月11日
问题如下：
The following spot and forward rates have been given:
What's the value of a 3-year, 10% annual-pay, $1000 par value bond?
选项：
A. $996.
B. $1,055.
C. $1,086.
解释：
B is correct.
=$1055.21
请问这道题和PPT176页的题一样，为什么算法不同？
吴昊_品职助教 · 2021年05月11日
嗨，爱思考的PZer你好：
同学你好：
两道题的区别在于：讲义上是零息债券（只有一期现金流），所以直接拿着最后一期本金用forward rate折现即可。1000/[(1.035)(1.115)(1.1975)]=724
题库中这道题是付息债券（10% annual-pay，每一期的coupon是100），也就是说我们有三笔现金流需要分别用forward rate折现。
所以做题的时候一定要看清楚债券的属性。
----------------------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，加油！
NO.PZ2016031002000031 问题如下 The following spot anforwarrates have been given: Current 1-yespot rate is 6%. One-yeforwarrate one yefrom toy is 8%. One-yeforwarrate two years from toy is 10%.What's the value of a 3-year, 10% annual-pay, $1000 pvalue bon A.$996. B.$1,055. C.$1,086. B is correct.考点bonvaluation解析通过现金流折现求和，可得债券价格为1055.21，故B正确。Bonvalue=1001.06+100(1.06)(1.08)+1100(1.06)(1.08)(1.1)Bontext{ }value=\\\frac{100}{1.06}+\frac{100}{(1.06)(1.08)}+\frac{1100}{(1.06)(1.08)(1.1)}\\Bonvalue=1.06100+(1.06)(1.08)100+(1.06)(1.08)(1.1)1100=$1055.21 如题，老师我的算法是（1+y）三次方=（1+6%）（1+8%）（1+10%），算出来y=7.98% 然后n=3 pmt=100 FV=1000，算出来pv=1052，请问老师这种方法错在哪里呢？谢谢！
NO.PZ2016031002000031问题如下 The following spot anforwarrates have been given: Current 1-yespot rate is 6%. One-yeforwarrate one yefrom toy is 8%. One-yeforwarrate two years from toy is 10%.What's the value of a 3-year, 10% annual-pay, $1000 pvalue bonA.$996.B.$1,055.C.$1,086. B is correct.考点bonvaluation解析通过现金流折现求和，可得债券价格为1055.21，故B正确。Bonvalue=1001.06+100(1.06)(1.08)+1100(1.06)(1.08)(1.1)Bontext{ }value=\\\frac{100}{1.06}+\frac{100}{(1.06)(1.08)}+\frac{1100}{(1.06)(1.08)(1.1)}\\Bonvalue=1.06100+(1.06)(1.08)100+(1.06)(1.08)(1.1)1100=$1055.21 求解。
NO.PZ2016031002000031 问题如下 The following spot anforwarrates have been given: Current 1-yespot rate is 6%. One-yeforwarrate one yefrom toy is 8%. One-yeforwarrate two years from toy is 10%.What's the value of a 3-year, 10% annual-pay, $1000 pvalue bon A.$996. B.$1,055. C.$1,086. B is correct.考点bonvaluation解析通过现金流折现求和，可得债券价格为1055.21，故B正确。Bonvalue=1001.06+100(1.06)(1.08)+1100(1.06)(1.08)(1.1)Bontext{ }value=\\\frac{100}{1.06}+\frac{100}{(1.06)(1.08)}+\frac{1100}{(1.06)(1.08)(1.1)}\\Bonvalue=1.06100+(1.06)(1.08)100+(1.06)(1.08)(1.1)1100=$1055.21
为什么不能 (1+S3)3次方 = (1+S1)*(1+1y1y)2次方*(1+2y1y)3次方 S3=18.06% 最后用计算器 N=3 I/Y=18.06 PMT=100 FV=1000 算PV呢 谢谢
