NO.PZ2018062006000066
问题如下:
Bond B has a time-to-maturity of 3 years. The interests are paid annually and coupon rate for bond B is 6%.
The spot rates are shown as below:
Calculate the price of Bond B based on spot rates.
选项:
A.102.3
B.100.0
C.92.6
解释:
C is correct
PV =92.6
考点:Pricing Bonds with Spot Rates
解析:通过未来现金流折现求和,第一年的现金流(6)用S1 (7%)折现,第二年的现金流(6)用S2 (8%)折现,第三年的现金流(100+6)用S3 (9%)折现,可得债券价格为92.6,故选项C正确。
如题