问题如下图：
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解释：
这道题个人觉得有个坑，书上老师讲例题P22页，求return是算的持有期收益率（因为书上例题刚好是投资1年），不用年化，而本题投资期是2年，故持有期收益率HPR=p1-p0/p0,再年化（1+EAR）^2=1+HPR，EAR=(1+94.26-83.058/83.058)^0.5-1=6.53%
非提问，不用回复，仅以此标记
NO.PZ201701230200000203问题如下3. In presenting Investment 2, Smith shoulshow annureturn closest to:A.4.31%.B.5.42%.C.6.53%.C is correct. The swspreis a common wto incate cret sprea in a market. The four-yeswrate (fixeleg of interest rate swap) cuseincation of the four-yecorporate yiel Ring the yielcurve purchasing a four-yezero-coupon bonwith a yielof 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)4 = 83.058]} anthen selling it when it becomes a two-yezero-coupon bonwith a yielof 3.00% {i.e., 2.70% +0.30%, [P2 = 100/(1 + 0.0300)2 = 94.260]} proces annureturn of 6.53%: (94.260/83.058)0.5 - 1.0 = 0.0653.所以ring the yiel赚的是extra coupon reinvestment return 吧？
NO.PZ201701230200000203问题如下 3. In presenting Investment 2, Smith shoulshow annureturn closest to:A.4.31%.B.5.42%.C.6.53%.C is correct. The swspreis a common wto incate cret sprea in a market. The four-yeswrate (fixeleg of interest rate swap) cuseincation of the four-yecorporate yiel Ring the yielcurve purchasing a four-yezero-coupon bonwith a yielof 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)4 = 83.058]} anthen selling it when it becomes a two-yezero-coupon bonwith a yielof 3.00% {i.e., 2.70% +0.30%, [P2 = 100/(1 + 0.0300)2 = 94.260]} proces annureturn of 6.53%: (94.260/83.058)0.5 - 1.0 = 0.0653.请问这里的P2 P4为什么不能用spot rate 一期期往前折 而是直接用了S2 S4
NO.PZ201701230200000203 问题如下 3. In presenting Investment 2, Smith shoulshow annureturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct. The swspreis a common wto incate cret sprea in a market. The four-yeswrate (fixeleg of interest rate swap) cuseincation of the four-yecorporate yiel Ring the yielcurve purchasing a four-yezero-coupon bonwith a yielof 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)4 = 83.058]} anthen selling it when it becomes a two-yezero-coupon bonwith a yielof 3.00% {i.e., 2.70% +0.30%, [P2 = 100/(1 + 0.0300)2 = 94.260]} proces annureturn of 6.53%: (94.260/83.058)0.5 - 1.0 = 0.0653. 两年期折现的时候为什么不用 S2与S4推导出来的 f(2,2) 来折 而是用 spot rate
NO.PZ201701230200000203 请问答案说的P4和P2分别是什么？如果是用骑乘策略，不应该是站在第2年末分别算出4年和2年零息债券的价格吗？
NO.PZ201701230200000203 (94.260/83.058)0.5 - 1.0 = 0.0653 不明白使用什么复利公式计算的，麻烦老师一下。
