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Gigi W.藝錡 · 2023年06月18日

老师, 我的计算对吗

NO.PZ2023040701000002

问题如下:

Bird is analyzing a newly issued, US Treasury bond with a five year maturity and a 7.00% coupon. For other investors who may sell this US Treasury bond prior to maturity, Scott states that the future value of this bond is a function of expected future spot rates relative to the forward curve. Bird agrees, and states “let’s assume that an investor purchases this US Treasury bond at 101.5, to yield 6.72% to maturity. He then holds the bond for two years, at which time the 1 year, 2 year and 3 year spot interest rates are each assumed to equal 8.00%.”

Current spot rates and extrapolated one year forward rates are provided in Exhibit 1.

Based on the data provided in Exhibit 1 and considering Bird's assumptions regarding an investor who purchases the US Treasury bond and sells it after two years, the US Treasury bond is currently most likely:

选项:

A.

undervalued.

B.

overvalued.

C.

fairly valued.

解释:

Correct Answer: B

The US Treasury bond is overvalued today for an investor buying at 101.5 and then selling after two years given the forward curve in Exhibit 1 and Bird’s assumptions. For any bond in which the expected future spot rates (8.00% for each of the remaining three years of the bonds term) is higher than a quoted forward rate for the same maturity (7.03%, 3 year forward rate implied by the current spot curve), the bond is overvalued vs. its intrinsic value since the market is placing a lower discount rate on its cash flows (7.03% forward rate today vs. 8.00% assumed future spot rate). Presuming that the forward curve shifts higher as anticipated by Bird, the fair value of the bond is $97.42. Since the rates did not materialize as anticipated by the original forward curve but rather rose, the price of the bond falls relative to the original estimates, and, therefore was overvalued. The total return over the two year horizon is -1.86%.


老师, 我的计算对吗?

1 个答案

pzqa31 · 2023年06月18日

嗨,爱思考的PZer你好:


不对,这个8%是假设的,要用表1给的forward rate来折现。这是咱们经典题module1 benchmark curve01 1.2这道例题,课上何老师做过非常详细的估值讲解,同学可以去听一下哈。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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NO.PZ2023040701000002 问题如下 Biris analyzing a newly issue US Treasury bonwith a five yematurity ana 7.00% coupon. For other investors who msell this US Treasury bonprior to maturity, Scott states ththe future value of this bonis a function of expectefuture spot rates relative to the forwarcurve. Biragrees, anstates “let’s assume thinvestor purchases this US Treasury bon101.5, to yiel6.72% to maturity. He then hol the bonfor two years, whitime the 1 year, 2 yean3 yespot interest rates are eaassumeto equ8.00%.”Current spot rates anextrapolateone yeforwarrates are proviin Exhibit 1.Baseon the ta proviin Exhibit 1 anconsiring Birs assumptions regarng investor who purchases the US Treasury bonansells it after two years, the US Treasury bonis currently most likely: A.unrvalue B.overvalue C.fairly value CorreAnswer: BThe US Treasury bonis overvaluetoy for investor buying 101.5 anthen selling after two years given the forwarcurve in Exhibit 1 anBirs assumptions. For any bonin whithe expectefuture spot rates (8.00% for eaof the remaining three years of the bon term) is higher tha quoteforwarrate for the same maturity (7.03%, 3 yeforwarrate impliethe current spot curve), the bonis overvaluevs. its intrinsic value sinthe market is placing a lower scount rate on its cash flows (7.03% forwarrate toy vs. 8.00% assumefuture spot rate). Presuming ththe forwarcurve shifts higher anticipateBir the fair value of the bonis $97.42. Sinthe rates not materialize anticipatethe originforwarcurve but rather rose, the priof the bonfalls relative to the originestimates, an therefore wovervalue The totreturn over the two yehorizon is -1.86%. 如题

2024-08-12 14:39 1 · 回答