NO.PZ2023040401000057
问题如下:
A portfolio manager observes the price and YTM of one-year (r1) and two-year (r2) annual coupon government benchmark bonds currently available in the market. How the manager can determine a breakeven reinvestment rate in one year’s time to help decide whether to invest now for one or two years?
选项:
A.Divide the square root of (1 + r2) by (1 + r1) and
subtract 1 to arrive at a breakeven reinvestment rate for one year in one
year’s time.
Set (1 + r1)
multiplied by 1 plus the breakeven reinvestment rate equal to (1 + r2)
2 and solve for the breakeven reinvestment rate.
First substitute the
one-year rate (r1) into the two-year bond price equation to solve
for the two-year spot or zero rate (z2 ), then set (1 + r1)
× (1 + breakeven reinvestment rate) = (1 + z2 ) 2 and
solve for the breakeven reinvestment rate..
解释:
A portfolio manager observes the YTM of one-year (r1)
and two-year (r2) bonds in the market, and wants to determine the
break-even reinvestment rate in one year.
Based on the formula:
Only C is correct.
此题不理解,请老师讲解一下,谢谢。