NO.PZ2023010301000062
问题如下:
Using the following US Treasury forward rates, the value of a 2½-year $100 par value Treasury bond with a 5% coupon rate is closest to:
选项:
A.$101.52.
$104.87.
$106.83.
解释:
Correct Answer: C
(1+1.2%/2)*(1+1.8%/2)*(1+2.3%/2)*(1+2.7%/2)*(1+3%/2)=(1+S)五次方
得到S=1.1%
再通过计算器求得PV=106.77
这样计算对吗?