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hemanie · 2021年05月21日

问一道题:NO.PZ2018123101000078 [ CFA II ]

问题如下:

Hsu also selects the two floating-rate bonds issued by Varlep, plc given in the table below. These bonds have a maturity of three years and the same credit rating.

To value Varlep’s bonds, Hsu constructs the binomial interest rate tree provided in the exhibit below:

The value of Bond #7 is to:

选项:

A.

99.697% of par.

B.

99.936% of par.

C.

101.153% of par.

解释:

A is correct.

考点:利用二叉树模型对浮动利率债券进行估值

解析:

注意因为Bond 7具有利率顶(Capped at 5.00%),所以高于5的coupon是取不到了,因此高于5的Coupon需要调整到5。如下图红色所示:

为什么我从Node1推Node 0时,计算的出的是【(99.381+99.9958)/2+3】/1.003=102.38?哪里出错了么
1 个答案

WallE_品职答疑助手 · 2021年05月21日

嗨,从没放弃的小努力你好:


除以1.03

----------------------------------------------
努力的时光都是限量版,加油!

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