NO.PZ2023040701000034
问题如下：
Hake begins development on an algorithm that will evaluate government bonds that have been stripped. He tests his logic by evaluating a dollar-denominated Tangoran government bond with a 3.20%, annual pay coupon maturing in three years, using data in Exhibit 1. The bond is quoted in the market at $103.50.
Based on the market price of the Tangoran government bond and the interest rates in Exhibit 1, what profitable arbitrage opportunity should Hake's algorithm most likely identify?
选项：
A.Buying the Year 1 and Year 2 strips and selling the Year 3 strip
Buying the bond and selling the strips
Buying the strips and selling the bond
解释：
Correct Answer: C
The value of the bond's cash flows using spot rates is $103.4816 and is determined as follows:
So, strips could be purchased for $103.4816 and reconstituted into the bond, which could be sold for $103.50, representing an arbitrage opportunity.
题目给出了三年期的bond价格是103.5,同时给出了spot rate and par rate表格。
请问如果题目是问这只三年期的bond是高估或低估的话，计算的方法也是3.2/1.011+ 3.2/1.015^2+103.2/1.0201^3这样吧？
那么我就有点犯迷糊了， 计算方法都一样，怎么区分是stips的三份bond 还是 整合的一份bond ？
