NO.PZ201812310200000104
问题如下:
The market price of bond B2 is1,090. If the bond is purchased at this price and there is a default on Date 3, the rate of return to the bond buyer would be closest to:
选项:
A.–28.38%.
B.–41.72%.
C.–69.49%.
解释:
A is correct. If default occurs on Date 3, the rate of return can be obtained by solving the following equation for internal rate of return (IRR):
In this equation, €60 is the amount of coupon received at Dates 1 and 2 prior to default at Date 3. The amount €326.74 is the recovery at Time 3 (from the CVA table in the solution to the previous question). The solution to the foregoing equation can be obtained using the cash flow IRR function on your calculator.
计算IRR时,为什么第一年和第二年的分子是60,第三年的分子是exposure*rr