NO.PZ2020021204000016
问题如下:
The six-month, 12-month, 18-month, and 24-month zero rates are 5%, 5.5%, 6%, and 6.5% (all measured with semi-annual compounding) respectively. What is the two-year par yield for a bond paying coupons every six months?
选项:
解释:
The par yield is the coupon rate c satisfying
It is 6.46%. Alternatively, we can use Equation . In
this case m= 2, d= 0.8799, and A= 3.7179.
这道题是说一个2年的债券,每6,12,18,24个月的zero rate 不同吗?完全读不懂题,能不能吧题干拆解一下,讲解一下呢。谢谢