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nirvana7 · 2023年08月02日

关于CF2的折现

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

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?

1 个答案
已采纳答案

品职答疑小助手雍 · 2023年08月03日

同学你好,注意6%是forward rate不是spot rate,forward rate代表的就是第一年末到第二年末的利率,不是整个两年度的。

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