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

WINWIN8 · 2022年08月20日

两年bond的二叉树

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201712110200000203

问题如下：

Based on Exhibits 3 and 4, the value of Bond C at the upper node at Time 1 is closest to:

选项：

A.

97.1957

B.

99.6255

C.

102.1255

解释：

B is correct. The bond value at the upper node at Time 1 is closest to 99.6255. The cash flow at Time 2 is 102.5, the redemption of par value (100) plus the final coupon payment (2.5). Using backward induction, we calculate the present value of the bond at the upper node of Time 1 as 102.5/1.028853 = 99.6255.

请问这个两年的二叉树，拿到coupon+par的这一年是第二年吗？ 我一直以为两年的二叉树是time 0, time 1, time2， 然后time 2之后拿到coupon+par，再用time 2 的利率开始折。

添加评论
1 个答案

pzqa015 · 2022年08月21日

嗨，爱思考的PZer你好：


是的

债券两年期，第一年只拿coupon，第二年拿coupon+par。三年期的债才用到time2

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 1

    回答

  • 0

    关注

  • 391

    浏览
相关问题

NO.PZ201712110200000203 问题如下 Baseon Exhibits 3 an4, the value of BonC the upper no Time 1 is closest to: A.97.1957 B.99.6255 C.102.1255 B is correct. The bonvalue the upper no Time 1 is closest to 99.6255. The cash flow Time 2 is 102.5, the remption of pvalue (100) plus the fincoupon payment (2.5). Using backwarinction, we calculate the present value of the bonthe upper no of Time 1 102.5/1.028853 = 99.6255. 为啥value不用加coupon, 也可以是time 1付息前的价值啊

2024-07-28 18:05 1 · 回答

NO.PZ201712110200000203问题如下Baseon Exhibits 3 an4, the value of BonC the upper no Time 1 is closest to:A.97.1957B.99.6255C.102.1255B is correct. The bonvalue the upper no Time 1 is closest to 99.6255. The cash flow Time 2 is 102.5, the remption of pvalue (100) plus the fincoupon payment (2.5). Using backwarinction, we calculate the present value of the bonthe upper no of Time 1 102.5/1.028853 = 99.6255.我算出来的是99.9292，跟答案小数差了一点

2023-03-21 16:12 1 · 回答

99.6255 102.1255 B is correct. The bonvalue the upper no Time 1 is closest to 99.6255. The cash flow Time 2 is 102.5, the remption of pvalue (100) plus the fincoupon payment (2.5). Using backwarinction, we calculate the present value of the bonthe upper no of Time 1 102.5/1.028853 = 99.6255.看了大家提问的解析，还是没看懂这里为什么不加上2.5的coupon，如果不单列，也不用加上是吧。

2021-07-04 23:37 2 · 回答

99.6255 102.1255 B is correct. The bonvalue the upper no Time 1 is closest to 99.6255. The cash flow Time 2 is 102.5, the remption of pvalue (100) plus the fincoupon payment (2.5). Using backwarinction, we calculate the present value of the bonthe upper no of Time 1 102.5/1.028853 = 99.6255.关于这一条是否加当期的coupon，我没有看懂老师们的解答，我没有在二叉树中看到单列的coupon，所以我这题会选择包含coupon的102.1255，感觉没有明白什么是单列的coupon？

2021-02-16 13:02 1 · 回答