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Ivana 🍭 · 2023年01月23日

老师求这个carrying value 是求PV吗?

NO.PZ2016031002000056

问题如下:

A manager has constructed a portfolio with a 10-year, $500,000, zero-coupon bond with an annual YTM of 6%. Assuming that the YTM remains the same after three years, what will he get if he sells the bond for $343,333?

选项:

A.

A capital gain.

B.

A capital loss.

C.

Neither a capital gain nor loss.

解释:

A is correct.

If the YTM remains at 6%, the price of the bond's carrying value should be 500,000/1.067=332,528.56 after three years.

The selling price is more than the bond's carrying value, so the manager will get a capital gain.

考点:Capital gain & loss

解析:计算Carrying Value,直接将未来现金流用期初购买时确定的YTM进行折现。利用计算器:FV=500,000 I/Y=6 PMT=0 N=7,求得PV= -332528.56。由于selling price大于carrying value,所以获得的是capital gain,故选项A正确。

老师求这个carrying value 是求PV吗?

1 个答案

吴昊_品职助教 · 2023年01月28日

嗨,努力学习的PZer你好:


是的,carrying value是债券的账面价值,计算Carrying Value,直接将未来现金流用期初购买债券时的YTM进行折现,折现求的就是PV。

注意,YTM一定是期初购买时的利率,本题中利率没有变化,一直都是6%,即YTM=6%。如果题目中市场利率发生了变化,那carrying value的YTM则是期初的利率。

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