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king · 2023年03月25日

不太明白为什么还要折算Z2

  1. CFA I
  2. Derivative

NO.PZ2021061002000047

问题如下：

A portfolio manager observes the price andYTM of one-year (r1) and two-year ( r2) annual coupon government benchmark bondscurrently available in the market. How the manager can determine a breakevenreinvestment rate in one year’s time to help decide whether to invest now forone or two years?

选项：

A.

Divide the square root of (1 + r2 ) by (1 +r1 ) and subtract 1 to arrive at a breakeven reinvestment rate for one year inone year’s time.

B.

Set (1 +r1) multiplied by 1 plus thebreakeven reinvestment rate equal to (1 + r2) 2 and solve for the breakevenreinvestment rate.

C.

First substitute the one-year rate (r1)into the two-year bond price equation to solve for the two-year spot or zerorate (z2 ), then set (1 + r1 ) × (1 + breakeven reinvestment rate) = (1 + z2 ) 2 and solve for the breakeven reinvestment rate.

解释：

中文解析：

本题考察的是计算Implied forward rates(IFR)。

即题干说的：观察到市场上现有的一年期(r1)和两年(r2)年期国债的收益率，想确定一年内的盈亏平衡再投资率。

考察的公式为：


基于此公式，只有C选项描述正确。

题目给出的两年期债券利率难道不是0时间点的利率吗？

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1 个答案

Lucky_品职助教 · 2023年03月25日

嗨，努力学习的PZer你好：


首先将一年期利率（r1）代入两年期债券价格方程，以求解两年期即期或零利率（z2），然后让（1+r1）×（1+盈亏平衡再投资利率）=（1+z2）^2，求解盈亏平衡的再投资利率。

相当于从一年期利率和两年期利率，倒挤算出中间一年的再投资利率~

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