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nirvana7 · 2023年08月02日

关于CF2的折现

  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

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？

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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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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 CF2 A.$75,472 $981,196 B.$75,472 $961,196 C.$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 为什么不是两个现金流相加（100+8)/(1+5%)

2023-07-21 22:45 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

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