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erin_hi1990 · 2023年06月24日

请问这道题想考的知识点是什么?

NO.PZ2023040701000039

问题如下:

Annisquam then develops a model that compares the value of a bond determined using a binomial interest rate tree to its value determined using spot rates. The bond he selects for the comparison is non-benchmark, option-free, has five years to maturity and an annual-pay coupon rate of 3%. The coupon rate is below the coupon rate of the benchmark bond. The yield curve is currently downward sloping. The output of Annisquam’s model shows that the spot rates generate a value equal to the market price of the bond, but the interest rate tree methodology produces a higher value.

Assuming Annisquam's spot rate valuation is correct, why does his model most likely produce a different result?

选项:

A.

The model is incorrect because both methodologies should value the bonds equally.

B.

He is valuing a non-benchmark bond.

C.

The yield curve is downward sloping.

解释:

Correct Answer: A

The binomial tree is based on the spot rate curve and a no arbitrage condition, therefore any option-free bond should have the same value whether using the spot rate curve or the binomial tree.

请问这道题想考的知识点是什么?

1 个答案

pzqa31 · 2023年06月25日

嗨,从没放弃的小努力你好:


二叉树本身也可以通过benchmark的spot rate进行构建,对于不含权债券来说,通过spot rate折现求价值和通过二叉树倒推求价值是一样的。但是对于不含权债券,我们只可以通过二叉树进行求价值。

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努力的时光都是限量版,加油!

费尔南多 · 2024年10月26日

最后一句话是不是有笔误啊?应该是对于“含权”债券,我们只能用二叉树求值。