NO.PZ201602270200001902
问题如下:
2. Based on Exhibits 2 and 3 and using Method 1, the amount (in absolute terms) by which the Hutto-Barkley corporate bond is mispriced is closest to:
选项:
A.0.3368 per 100 of par value.
B.0.4682 per 100 of par value.
C.0.5156 per 100 of par value.
解释:
C is correct.
The first step in the solution is to find the correct spot rate (zero-coupon rates) for each year’s cash flow. The benchmark bonds in Exhibit 2 are conveniently priced at par so the yields to maturity and the coupon rates on the bonds are the same. Because the one-year issue has only one cash flow remaining, the YTM equals the spot rate of 3% (or = 3%). The spot rates for Year 2 ( ) and Year 3 ( ) are calculated as follows:
The correct arbitrage-free price for the Hutto-Barkley Inc. bond is:
Therefore, the bond is mispriced by 94.4828 – 94.9984 = –0.5156 per 100 of par value.
A is incorrect because the correct spot rates are not calculated and instead the Hutto-Barkley Inc. bond is discounted using the respective YTM for each maturity. Therefore, this leads to an incorrect mispricing of 94.6616 – 94.9984 = –0.3368 per 100 of par value.
B is incorrect because the spot rates are derived using the coupon rate for Year 3 (maturity) instead of using each year’s respective coupon rate to employ the bootstrap methodology. This leads to an incorrect mispricing of 94.5302 – 94.9984 = –0.4682 per 100 of par value.
1、他不是说了COUPON是3%吗?
2、YTM和这个COUPON RATE为什么又等同了?为什么可以认为第二年、第三年的COUPON RATE是YTM?
3、benchmark par curve,为什么表格里面又说是YTM,?YTM和这个COUPON RATE为什么又等同了?
4、为什么不能用YTM直接算,之前的答案并没有很清晰回答,感觉像是诡辩?他不是说了COUPON是3%吗?,那不是三年的话,3年的COUPO都是3%?,对应的YTM就是5%?