发亮_品职助教 · 2018年05月06日
同学你好!
在Benchmark利率二叉树的基础上,给每个节点上的Forward rate加上OAS,得到新的二叉树。
然后从最后一年,先以正常现金流折现,折现率用新的Forward rate。一遍遍往前面一个节点折。由于是callable bond,哪个节点碰到的折现值大于Strike price,就将那个节点上的债券价值调整为行权价。然后继续往前折,直至求出PV。注意每个节点往前折现时,不要忘记除了债券价值还有一个Coupon的现金流要加上。
Yaq7 · 2018年05月08日
助教,这道题计算量也太大了...考试时也会有这种题么.....两个二叉树算下来时间有点久...
发亮_品职助教 · 2018年05月09日
原版书后面有一个求effective duration的,就是把Up和Down的二叉树都算了一遍。不过更多的是考察二叉树求Callable bond或者Putable bond的价值,练熟了就好了。
NO.PZ201712110200000401 问题如下 Baseon Exhibits 1 an2, the effective ration for the bonis closest to: A.1.98. B.2.15. C.2.73. B is correct. The bons value if interest rates shift wn 30 bps (PV–) is 100.78. The bons value if interest rates shift up 30 bps (PV+) is 99.487.Effective ration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15 bons value if interest rates shift wn 30 bps (PV–) 我算的不是 100.78,而是101.03854,算了两次都是这样,请问我哪里出错了?
NO.PZ201712110200000401 问题如下 Baseon Exhibits 1 an2, the effective ration for the bonis closest to: A.1.98. B.2.15. C.2.73. B is correct. The bons value if interest rates shift wn 30 bps (PV–) is 100.78. The bons value if interest rates shift up 30 bps (PV+) is 99.487.Effective ration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15 老师您好,我看原教材解析里面都懒得写计算全过程了...... 一般考试中会出现这么繁琐的计算么
NO.PZ201712110200000401问题如下Baseon Exhibits 1 an2, the effective ration for the bonis closest to:A.1.98.B.2.15.C.2.73.B is correct. The bons value if interest rates shift wn 30 bps (PV–) is 100.78. The bons value if interest rates shift up 30 bps (PV+) is 99.487.Effective ration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15对于含权债券如何判断题目给的现金流是否含权,什么时候需要在分母加oas
NO.PZ201712110200000401 问题如下 Baseon Exhibits 1 an2, the effective ration for the bonis closest to: A.1.98. B.2.15. C.2.73. B is correct. The bons value if interest rates shift wn 30 bps (PV–) is 100.78. The bons value if interest rates shift up 30 bps (PV+) is 99.487.Effective ration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15 老师上课说过,OAS是剔除了权利影响的sprea分子的现金流已经包含了权利影响了。那为什么还可以在二叉树的利率上直接加OAS,但是现金流又还是按照初始的coupon rate来计算呢?
NO.PZ201712110200000401 问题如下 Baseon Exhibits 1 an2, the effective ration for the bonis closest to: A.1.98. B.2.15. C.2.73. B is correct. The bons value if interest rates shift wn 30 bps (PV–) is 100.78. The bons value if interest rates shift up 30 bps (PV+) is 99.487.Effective ration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15 例如上图是辅导老师的解题过程,V+在year2,既然折现率4.9377%小于coupon rate,作为callable,为什么不直接取100呢而是99.7114?