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roger_yu119 · 2018年04月15日

问一道题:NO.PZ2016082406000073

这题是不是可以视为coupon 为5.6% semi annual 付,用5.9%来折现xwai现值?

问题如下图:

    

选项:

A.

B.

C.

D.

解释:



1 个答案
已采纳答案

orange品职答疑助手 · 2018年04月15日

同学你好,本题可以这样做


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NO.PZ2016082406000073 A three-yecret-linkenote (CLN) with unrlying company Z ha LIBOR+60semiannucoupon. The favalue of the CLN is US100. LIBOR is 5% for all maturities. The current three-yeC sprefor company Z is 90bp. The fair value of the CLN is closest to US100.00 US111.05 US101.65 US99.19 ANSWER: Because the current C spreis greater ththe coupon, the CLN must selling a scount. The only solution is More precisely, we cuse the spreration from Equation: V=(PV Payoff)−s(PV Sprea=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt)V={(\text{PV Payoff})}-s(\text{PV Sprea)={(\sum_{t=1}^Tk_t{(1-f)}{\text{PV}}_t)}-s{(\sum_{t=1}^TS_{t-1}{\text{PV}}_t)}V=(PV Payoff)−s(PV Sprea=(∑t=1T​kt​(1−f)PVt​)−s(∑t=1T​St−1​PVt​), whiis the sum of the present value factor over three years. Assuming a flterm structure,this is ∑PVt=0.952+0.907+0.864=2.72\sum PV_t=0.952+0.907+0.864=2.72∑PVt​=0.952+0.907+0.864=2.72 years. Multiplying (90-60) = 30gives a fall of 0.81%,whigives $99.19. 这题到底要怎么做?完全无法理解,请老师讲的更基础些。 我看之前老师说将CLN当作一个boncoupon就是5.6%,但是c sprea5.9%。 然后我就不知道怎么做了

2021-04-07 00:01 1 · 回答

NO.PZ2016082406000073 A three-yecret-linkenote (CLN) with unrlying company Z ha LIBOR+60semiannucoupon. The favalue of the CLN is US100. LIBOR is 5% for all maturities. The current three-yeC sprefor company Z is 90bp. The fair value of the CLN is closest to US100.00 US111.05 US101.65 US99.19 ANSWER: Because the current C spreis greater ththe coupon, the CLN must selling a scount. The only solution is More precisely, we cuse the spreration from Equation: V=(PV Payoff)−s(PV Sprea=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt)V={(\text{PV Payoff})}-s(\text{PV Sprea)={(\sum_{t=1}^Tk_t{(1-f)}{\text{PV}}_t)}-s{(\sum_{t=1}^TS_{t-1}{\text{PV}}_t)}V=(PV Payoff)−s(PV Sprea=(∑t=1T​kt​(1−f)PVt​)−s(∑t=1T​St−1​PVt​), whiis the sum of the present value factor over three years. Assuming a flterm structure,this is ∑PVt=0.952+0.907+0.864=2.72\sum PV_t=0.952+0.907+0.864=2.72∑PVt​=0.952+0.907+0.864=2.72 years. Multiplying (90-60) = 30gives a fall of 0.81%,whigives $99.19. 就是答案说应该拿来折现的利率应该是C的利率,这是为啥呢。 .用来折现的利率不是应该拿市场利率也就是Libor的利率吗,即5%。为什么要用C一个金融产品的利率(而非市场利率)来折现呢。

2021-03-13 22:00 1 · 回答

A three-yecret-linkenote (CLN) with unrlying company Z ha LIBOR+60semiannucoupon. The favalue of the CLN is US100. LIBOR is 5% for all maturities. The current three-yeC sprefor company Z is 90bp. The fair value of the CLN is closest to US100.00 US111.05 US101.65 US99.19 ANSWER: Because the current C spreis greater ththe coupon, the CLN must selling a scount. The only solution is More precisely, we cuse the spreration from Equation: V=(PV Payoff)−s(PV Sprea=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt)V={(\text{PV Payoff})}-s(\text{PV Sprea)={(\sum_{t=1}^Tk_t{(1-f)}{\text{PV}}_t)}-s{(\sum_{t=1}^TS_{t-1}{\text{PV}}_t)}V=(PV Payoff)−s(PV Sprea=(∑t=1T​kt​(1−f)PVt​)−s(∑t=1T​St−1​PVt​), whiis the sum of the present value factor over three years. Assuming a flterm structure,this is ∑PVt=0.952+0.907+0.864=2.72\sum PV_t=0.952+0.907+0.864=2.72∑PVt​=0.952+0.907+0.864=2.72 years. Multiplying (90-60) = 30gives a fall of 0.81%,whigives $99.19. 老师第二个思路,不是很看得懂,感觉上他的思路是用C定价推到出来的价格,为什么直接求ration 在乘以 sprea差,没感觉出来这一步和公式有什么关系

2020-10-19 15:24 1 · 回答

没看懂题干,能一下吗

2020-08-16 18:24 1 · 回答

A three-yecret-linkenote (CLN) with unrlying company Z ha LIBOR+60semiannucoupon. The favalue of the CLN is US100. LIBOR is 5% for all maturities. The current three-yeC sprefor company Z is 90bp. The fair value of the CLN is closest to US100.00 US111.05 US101.65 US99.19 ANSWER: Because the current C spreis greater ththe coupon, the CLN must selling a scount. The only solution is More precisely, we cuse the spreration from Equation: V=(PV Payoff)−s(PV Sprea=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt)V={(\text{PV Payoff})}-s(\text{PV Sprea)={(\sum_{t=1}^Tk_t{(1-f)}{\text{PV}}_t)}-s{(\sum_{t=1}^TS_{t-1}{\text{PV}}_t)}V=(PV Payoff)−s(PV Sprea=(∑t=1T​kt​(1−f)PVt​)−s(∑t=1T​St−1​PVt​), whiis the sum of the present value factor over three years. Assuming a flterm structure,this is ∑PVt=0.952+0.907+0.864=2.72\sum PV_t=0.952+0.907+0.864=2.72∑PVt​=0.952+0.907+0.864=2.72 years. Multiplying (90-60) = 30gives a fall of 0.81%,whigives $99.19. 请问为什么C比coupon大,CLN就是折价的,谢谢

2020-04-04 11:49 1 · 回答