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?