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Flying马 · 2023年08月26日

只计算持有到期,Y3和Y4吗?

NO.PZ2016031001000080

问题如下:

A bond with 5 years remaining until maturity is currently trading for 101 per 100 of par value. The bond offers a 6% coupon rate with interest paid semiannually. The bond is first callable in 3 years, and is callable after that date on coupon dates according to the following schedule:

The bond’s yield-to-worst is closest to:

选项:

A.

2.88%.

B.

5.77%.

C.

6.25%.

解释:

B is correct.

The yield-to-worst is 5.77%. The bond’s yield-to-worst is the lowest of the sequence of yields-to-call and the yield-to-maturity. From above, we have the following yield measures for this bond:

Yield-to-first-call: 6.25%

Yield-to-second-call: 5.94%

Yield-to-maturity: 5.77%

Thus, the yield-to-worst is 5.77%.

考点:YTW

解析:本题让计算 yield-to-worst,所以需要计算出每种情况下的收益再进行对比。

1、对于 yield-to-maturity:

N=10;PV= -101;PMT=3;FV=100 → CPT:I/Y =2.8835,但是要注意这是半年付息一次,所以年化后的 I/Y是5.767%

2、对于 yield-to-frist call:

N=6;PV= -101;PMT=3;FV=102 → CPT:I/Y =3.1229,所以年化后的 I/Y是6.246%

3、对于 yield-to-second call:

N=8;PV= -101;PMT=3;FV=101 → CPT:I/Y =2.97,所以年化后的 I/Y是5.94%

所以对比最差的是yield-to-maturity,即5.77%,故选项B正确。

请问老师  为什么year of 5 不用计算呢

1 个答案

吴昊_品职助教 · 2023年08月26日

嗨,爱思考的PZer你好:


5 years remaining,五年期债券。with interest paid semiannually,一年付息两次。如果是第五年,那就是持有至到期,算的就是YTM。对应的是解析中的第一段。

1、对于 yield-to-maturity:

N=10;PV= -101;PMT=3;FV=100 → CPT:I/Y =2.8835,但是要注意这是半年付息一次,所以年化后的 I/Y是5.767%

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NO.PZ2016031001000080 问题如下 A bonwith 5 years remaining until maturity is currently trang for 101 per 100 of pvalue. The bonoffers a 6% coupon rate with interest paisemiannually. The bonis first callable in 3 years, anis callable after thte on coupon tes accorng to the following schele: The bons yielto-worst is closest to: A.2.88%. B.5.77%. C.6.25%. B is correct.The yielto-worst is 5.77%. The bons yielto-worst is the lowest of the sequenof yiel-to-call anthe yielto-maturity. From above, we have the following yielmeasures for this bonYielto-first-call: 6.25%Yielto-seconcall: 5.94%Yielto-maturity: 5.77%Thus, the yielto-worst is 5.77%.考点YTW解析本题让计算 yielto-worst,所以需要计算出每种情况下的收益再进行对比。1、对于 yielto-maturity:N=10;PV= -101;PMT=3;FV=100 → CPTI/Y =2.8835,但是要注意这是半年付息一次,所以年化后的 I/Y是5.767%2、对于 yielto-frist call:N=6;PV= -101;PMT=3;FV=102 → CPTI/Y =3.1229,所以年化后的 I/Y是6.246%3、对于 yielto-seconcall:N=8;PV= -101;PMT=3;FV=101 → CPTI/Y =2.97,所以年化后的 I/Y是5.94%所以对比最差的是yielto-maturity,即5.77%,故B正确。 call price对应的是FV,101是价格,对应的是PV。为啥不是call price对应的是PV,到期时的100是FV这样算呢?N也有所不同

2024-07-04 12:44 1 · 回答

NO.PZ2016031001000080 问题如下 A bonwith 5 years remaining until maturity is currently trang for 101 per 100 of pvalue. The bonoffers a 6% coupon rate with interest paisemiannually. The bonis first callable in 3 years, anis callable after thte on coupon tes accorng to the following schele: The bons yielto-worst is closest to: A.2.88%. B.5.77%. C.6.25%. B is correct.The yielto-worst is 5.77%. The bons yielto-worst is the lowest of the sequenof yiel-to-call anthe yielto-maturity. From above, we have the following yielmeasures for this bonYielto-first-call: 6.25%Yielto-seconcall: 5.94%Yielto-maturity: 5.77%Thus, the yielto-worst is 5.77%.考点YTW解析本题让计算 yielto-worst,所以需要计算出每种情况下的收益再进行对比。1、对于 yielto-maturity:N=10;PV= -101;PMT=3;FV=100 → CPTI/Y =2.8835,但是要注意这是半年付息一次,所以年化后的 I/Y是5.767%2、对于 yielto-frist call:N=6;PV= -101;PMT=3;FV=102 → CPTI/Y =3.1229,所以年化后的 I/Y是6.246%3、对于 yielto-seconcall:N=8;PV= -101;PMT=3;FV=101 → CPTI/Y =2.97,所以年化后的 I/Y是5.94%所以对比最差的是yielto-maturity,即5.77%,故B正确。 是不是callable bon的YTW一般都是YTM?

2024-05-26 16:54 1 · 回答

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2022-10-02 21:43 1 · 回答

5.77%. 6.25%. B is correct. The yielto-worst is 5.77%. The bons yielto-worst is the lowest of the sequenof yiel-to-call anthe yielto-maturity. From above, we have the following yielmeasures for this bon Yielto-first-call: 6.25% Yielto-seconcall: 5.94% Yielto-maturity: 5.77% Thus, the yielto-worst is 5.77%. 老师您好,您帮我看看看我错在哪里了?

2020-07-03 15:23 1 · 回答