NO.PZ201812310200000104
问题如下:
The market price of bond B2 is1,090. If the bond is purchased at this price and there is a default on Date 3, the rate of return to the bond buyer would be closest to:
选项:
A.–28.38%.
B.–41.72%.
C.–69.49%.
解释:
A is correct. If default occurs on Date 3, the rate of return can be obtained by solving the following equation for internal rate of return (IRR):
In this equation, €60 is the amount of coupon received at Dates 1 and 2 prior to default at Date 3. The amount €326.74 is the recovery at Time 3 (from the CVA table in the solution to the previous question). The solution to the foregoing equation can be obtained using the cash flow IRR function on your calculator.
用excel算出来不是28,是26怎么办
第三年Recover 是326.73786,加上前两年coupon = 60/(1+3%)^2+60/(1+3%), 一共是441.5460,然后用这个
=(441.5460/1090)^(1/3)-1,算出来IRR是-26%。请问是计算方法不对,还是小数点保留问题啊?
用手算而不用计算器求IRR,是因为怕忘记用FV - 最后一年的coupon(PMT)