NO.PZ2016031001000111
问题如下：
An investor purchases a nine-year, 7% annual coupon payment bond at a price equal to par value. After the bond is purchased and before the first coupon is received, interest rates increase to 8%. The investor sells the bond after five years. Assume that interest rates remain unchanged at 8% over the five-year holding period.
The capital gain/loss per 100 of par value resulting from the sale of the bond at the end of the five-year holding period is closest to a:
选项：
A. loss of 8.45.
B. loss of 3.31.
C. gain of 2.75.
解释：
B is correct.
The capital loss is closest to 3.31 per 100 of par value. After five years, the bond has four years remaining until maturity and the sale price of the bond is 96.69, calculated as:
The investor purchased the bond at a price equal to par value (100). Because the bond was purchased at a price equal to its par value, the carrying value is par value. Therefore, the investor experienced a capital loss of 96.69 - 100 = -3.31.
考点：capital gain（loss）
解析：一开始是以面值100购入债券，当收到第一笔coupon后，利率上涨至8%，五年后投资者又将债券卖出。现在题目要我们求的是capital gain（loss）。capital gain（loss）衡量的是债券售价和carrying value之间的差距，这道题的carrying value就是100，那我们只要算出selling price，两项相减即可。利用计算器计算债券售价：N=4，PMT=7，I/Y=8，FV=100，求得PV= -96.69。求得的96.69是债券第五年卖出的sale prcie，债券在第五年能卖多少钱，取决于未来现金流折到第五年共有多少。故capital loss = 96.69-100 = -3.31，故选项B正确。
使用计算器，没明白为什么N要用4
