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Carol · 2022年06月20日

用excel算出来不是28,是26怎么办

* 问题详情,请 查看题干

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):

1090= 60 1+IRR + 60 (1+IRR) 2 + 326.74 (1+IRR) 3

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)

2 个答案

pzqa015 · 2022年06月22日

嗨,从没放弃的小努力你好:


同学,这道题只能用CF功能来算,只要按对了,结果不可能错。你的式子列的不对,你没有考虑coupon以及coupon的RI。

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pzqa015 · 2022年06月20日

嗨,爱思考的PZer你好:


考试时候可没法用excel计算,你手边只有计算器

所以,还是要按一下计算器。这里没什么难的,就是按照公式进行计算,自己从新按一下计算器吧。

CF0=-1090,CF1=60,CF2=60,CF3=326.737863,可以计算得到IRR=-28.376488


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