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AliciaLi · 2023年07月21日

为什么不是两个现金流相加

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2020033001000022

问题如下：

When conducting cash flow mapping, we need to separate the cash flows of a bond and measure the risk of the present value of each cash flow. The face value of a 2-years bond is now $ 1,000,000 with 8% interest rate paid annually, the discount rate for the same-risk 1-year zero-coupon bond is 5%, and the forward rate for the 1-2 year is 6%. What are the present values of the two cash flows of this bond?

选项：

PV of CF1
PV of CF2
A.
$75,472
$981,196
B.
$75,472
$961,196
C.
$76,190
$970,350
D.
$76,190
$979,592

解释：

C is correct.

考点：Delta-normal VaR

解析：两个现金流分别是80000和1080000,

80000对应的折现率是5%，直接用80000/1.05=76190。

1080000对应的折现率分为两期，第一期是5%，第二期是6%，用1080000/（1.05*1.06）=970350

为什么不是两个现金流相加（100+8)/(1+5%)

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1 个答案

DD仔_品职助教 · 2023年07月22日

嗨，从没放弃的小努力你好：


同学你好，

第一笔现金流发生1时刻，只有80k，按照第一年的利率5%折现一次。

第二笔现金流才有本金和coupon，80k+1000k，要折现两次，先用第二年的利率6%折现以此，再用第一年的利率5%折现一次。

具体请看下图：

----------------------------------------------
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.PZ2020033001000022问题如下 When concting cash flow mapping, we neeto separate the cash flows of a bonanmeasure the risk of the present value of eacash flow. The favalue of a 2-years bonis now $ 1,000,000 with 8% interest rate paiannually, the scount rate for the same-risk 1-yezero-coupon bonis 5%, anthe forwarrate for the 1-2 yeis 6%. Whare the present values of the two cash flows of this bon PV of CF1 PV of CF2A.$75,472 $981,196B.$75,472 $961,196C.$76,190 $970,350$76,190 $979,592 C is correct.考点lta-normVaR解析两个现金流分别是80000和1080000,80000对应的折现率是5%，直接用80000/1.05=76190。1080000对应的折现率分为两期，第一期是5%，第二期是6%，用1080000/（1.05*1.06）=970350 请问为什么CF2折线要分别用6%和5%，不用（1+6%）^2做折现因子？

2023-08-02 17:12 1 · 回答

NO.PZ2020033001000022问题如下 When concting cash flow mapping, we neeto separate the cash flows of a bonanmeasure the risk of the present value of eacash flow. The favalue of a 2-years bonis now $ 1,000,000 with 8% interest rate paiannually, the scount rate for the same-risk 1-yezero-coupon bonis 5%, anthe forwarrate for the 1-2 yeis 6%. Whare the present values of the two cash flows of this bon PV of CF1 PV of CF2A.$75,472 $981,196B.$75,472 $961,196C.$76,190 $970,350$76,190 $979,592 C is correct.考点lta-normVaR解析两个现金流分别是80000和1080000,80000对应的折现率是5%，直接用80000/1.05=76190。1080000对应的折现率分为两期，第一期是5%，第二期是6%，用1080000/（1.05*1.06）=970350 CF2的折现因子都用spot rate，S1*S2可以吗？而不是S1*F1

2023-01-29 16:15 1 · 回答

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2021-08-28 14:07 1 · 回答