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:
A.
B.
C.
D.
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?