开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

ZF Everyday · 2022年07月24日

S2问题

  1. CFA II
  2. Fixed Income

NO.PZ2018123101000027

问题如下：

Smith gathers information on spot rates for on-the-run annual-coupon government securities and swap spreads, as presented in Exhibit below.

Smith buys a four-year, zero-coupon corporate bond and then sell it after two years. Smith illustrates the returns from this strategy using the swap rate as a proxy for corporate yields. Smith should show a total return closest to:

选项：

A.

4.31%.

B.

5.42%.

C.

6.53%.

解释：

C is correct.

考点：考察Riding the yield curve策略

解析：由题干已知，Swap rate来代替公司债的收益率；四年期的Swap spread息差为0.70%，4年期的国债收益率Government spot rate 为4.05%，则4年期的swap rate = 4.05% + 0.70% = 4.75%。

因此，购买的4年期零息债券的价格为：

price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058

两年期的公司债收益率为2年期的Swap rate, swap rate = 2.70% +0.30% = 3%,

4年期的零息债券持有2年后的卖出价格为：

price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260

则这笔投资的年化总收益为：

94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%

为什么是从第四年往第二年折旧这个问题，我有认真听基础课，对于何老师讲到这个知识点有点遗忘，请老师再详细表述一下？或者方便指出来具体在哪个视频里有体现？我再去重新听一下。

添加评论
1 个答案
已采纳答案

pzqa015 · 2022年07月25日

嗨，努力学习的PZer你好：


期初你买的是4年期的债，2年后卖出，此时，它的剩余期限是2年，无论什么时候，计算债券价格都是未来现金流折现求和。

那么期初，要用4年期的折现率折现，期末用2年期的折现率折现。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 0

    关注

  • 361

    浏览
相关问题

NO.PZ2018123101000027 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.Smith buys a four-year, zero-coupon corporate bonanthen sell it after two years. Smith illustrates the returns from this strategy using the swrate a proxy for corporate yiel. Smith shoulshow a totreturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct.考点考察Ring the yielcurve策略解析由题干已知，Swrate来代替公司债的收益率；四年期的Swsprea差为0.70%，4年期的国债收益率Government spot rate 为4.05%，则4年期的swrate = 4.05% + 0.70% = 4.75%。因此，购买的4年期零息债券的价格为price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058price=(1+0.0475)4100​=83.058两年期的公司债收益率为2年期的Swrate, swrate = 2.70% +0.30% = 3%,4年期的零息债券持有2年后的卖出价格为price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260price=(1+0.0300)2100​=94.260则这笔投资的年化总收益为94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%83.05894.260​​−1=0.0653=6.53% 题目里面算出swrate，可以用它来折现？但是课上说swrate是一种prate？prate我理解就是每期现金流/pincipal的一个比率，应该是用来计算分子的？所以swrate到底是什么？为什么可以用来折现算价格？

2024-05-07 07:32 1 · 回答

NO.PZ2018123101000027 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.Smith buys a four-year, zero-coupon corporate bonanthen sell it after two years. Smith illustrates the returns from this strategy using the swrate a proxy for corporate yiel. Smith shoulshow a totreturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct.考点考察Ring the yielcurve策略解析由题干已知，Swrate来代替公司债的收益率；四年期的Swsprea差为0.70%，4年期的国债收益率Government spot rate 为4.05%，则4年期的swrate = 4.05% + 0.70% = 4.75%。因此，购买的4年期零息债券的价格为price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058price=(1+0.0475)4100​=83.058两年期的公司债收益率为2年期的Swrate, swrate = 2.70% +0.30% = 3%,4年期的零息债券持有2年后的卖出价格为price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260price=(1+0.0300)2100​=94.260则这笔投资的年化总收益为94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%83.05894.260​​−1=0.0653=6.53% 关于持有两年后的价格计算，为什么不是用f（2,4）来折现，而是用S2来折现呢

2024-04-24 16:50 1 · 回答

NO.PZ2018123101000027 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.Smith buys a four-year, zero-coupon corporate bonanthen sell it after two years. Smith illustrates the returns from this strategy using the swrate a proxy for corporate yiel. Smith shoulshow a totreturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct.考点考察Ring the yielcurve策略解析由题干已知，Swrate来代替公司债的收益率；四年期的Swsprea差为0.70%，4年期的国债收益率Government spot rate 为4.05%，则4年期的swrate = 4.05% + 0.70% = 4.75%。因此，购买的4年期零息债券的价格为price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058price=(1+0.0475)4100​=83.058两年期的公司债收益率为2年期的Swrate, swrate = 2.70% +0.30% = 3%,4年期的零息债券持有2年后的卖出价格为price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260price=(1+0.0300)2100​=94.260则这笔投资的年化总收益为94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%83.05894.260​​−1=0.0653=6.53% 相关公式可以写一下吗？

2023-10-30 23:53 1 · 回答

NO.PZ2018123101000027 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.Smith buys a four-year, zero-coupon corporate bonanthen sell it after two years. Smith illustrates the returns from this strategy using the swrate a proxy for corporate yiel. Smith shoulshow a totreturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct.考点考察Ring the yielcurve策略解析由题干已知，Swrate来代替公司债的收益率；四年期的Swsprea差为0.70%，4年期的国债收益率Government spot rate 为4.05%，则4年期的swrate = 4.05% + 0.70% = 4.75%。因此，购买的4年期零息债券的价格为price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058price=(1+0.0475)4100​=83.058两年期的公司债收益率为2年期的Swrate, swrate = 2.70% +0.30% = 3%,4年期的零息债券持有2年后的卖出价格为price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260price=(1+0.0300)2100​=94.260则这笔投资的年化总收益为94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%83.05894.260​​−1=0.0653=6.53% 为什么2年后的卖出价格，不是用加上sprea的f(2,2)来折现100求得？

2023-09-17 00:08 1 · 回答

NO.PZ2018123101000027 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.Smith buys a four-year, zero-coupon corporate bonanthen sell it after two years. Smith illustrates the returns from this strategy using the swrate a proxy for corporate yiel. Smith shoulshow a totreturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct.考点考察Ring the yielcurve策略解析由题干已知，Swrate来代替公司债的收益率；四年期的Swsprea差为0.70%，4年期的国债收益率Government spot rate 为4.05%，则4年期的swrate = 4.05% + 0.70% = 4.75%。因此，购买的4年期零息债券的价格为price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058price=(1+0.0475)4100​=83.058两年期的公司债收益率为2年期的Swrate, swrate = 2.70% +0.30% = 3%,4年期的零息债券持有2年后的卖出价格为price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260price=(1+0.0300)2100​=94.260则这笔投资的年化总收益为94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%83.05894.260​​−1=0.0653=6.53% 本题两个问题1.题目中没有说明spot rate曲线不变，是否应该增加此条件后题目才算严谨？2.求totreturn也要进行年化吗？什么情况下不需要年化呀？

2023-08-21 21:34 1 · 回答