开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Biubiubird · 2023年09月11日

Time value of money - implied return - fixed income

  1. CFA I
  2. Quantitative

NO.PZ2023052407000005

问题如下：

Consider a Swiss Confederation zero-coupon bond with a par value of CHF100, a remaining time to maturity of 12 years and a price of CHF89. In three years’ time, the bond is expected to have a price of CHF95.25. If purchased today, the bond’s expected annualized return is closest to:

选项：

A.

0.58 percent.

B.

1.64 percent.

C.

2.29 percent.

解释：

C is correct. The FV of the bond is CHF95.25, the PV is CHF89, and the number of annual periods (t) is 3.

2.29 percent=(95.25/89)1/3-1

A is incorrect as the result is derived using t of 12. B is incorrect as this result is derived using a PV of CHF95.25 and an FV of 100.

突然脑子一抽，不明白为什么不能用HPR = (FV-PV)/PV = (97.5-89)/89 = 0.702 然后再开三次根 -1 计算？

添加评论
Biubiubird · 2023年09月13日

抱歉，笔误，95.25

3 个答案
已采纳答案

星星_品职助教 · 2023年09月20日

@Biubiubird

这一步有误。[ (95.25-89)+0] / 89 =0.0702。

之后步骤无误。根据0.0702来计算，就可以得到（1 + 0.0702) = (1+r)^3 -> r=0.0229，即2.29 percent


星星_品职助教 · 2023年09月13日

@Biubiubird

HPR与年化利率的关系式为 1+HPR=（1+r）^3。等号左侧相当于1块钱按照非年化利率来计算的三年后本息和，等号右侧相当于1块钱按照年化利率方式来计算的复利三年的本息和。

而提问中的列式相当于HPR=（1+r）^3。等号左侧少了一个 1.

星星_品职助教 · 2023年09月12日

同学你好，

请具体说明一下提问中“97.5”的来源。

  • 3

    回答

  • 0

    关注

  • 487

    浏览
相关问题

NO.PZ2023052407000005 问题如下 Consir a Swiss Conferation zero-coupon bonwith a pvalue of CHF100, a remaining time to maturity of 12 years ana priof CHF89. In three years’ time, the bonis expecteto have a priof CHF95.25. If purchasetoy, the bons expecteannualizereturn is closest to: A.0.58 percent. B.1.64 percent. C.2.29 percent. C is correct. The FV of the bonis CHF95.25, the PV is CHF89, anthe number of annuperio (t) is 3. 2.29 percent=(95.25/89)1/3-1A is incorrethe result is riveusing t of 12. B is incorrethis result is riveusing a PV of CHF95.25 anFV of 100. 搞不懂用哪个年期

2024-08-05 10:02 1 · 回答

NO.PZ2023052407000005 问题如下 Consir a Swiss Conferation zero-coupon bonwith a pvalue of CHF100, a remaining time to maturity of 12 years ana priof CHF89. In three years’ time, the bonis expecteto have a priof CHF95.25. If purchasetoy, the bons expecteannualizereturn is closest to: A.0.58 percent. B.1.64 percent. C.2.29 percent. C is correct. The FV of the bonis CHF95.25, the PV is CHF89, anthe number of annuperio (t) is 3. 2.29 percent=(95.25/89)1/3-1A is incorrethe result is riveusing t of 12. B is incorrethis result is riveusing a PV of CHF95.25 anFV of 100. 能下expecteannualizereturn 和YTM的区别吗？

2024-06-21 07:57 1 · 回答

NO.PZ2023052407000005问题如下 Consir a Swiss Conferation zero-coupon bonwith a pvalue of CHF100, a remaining time to maturity of 12 years ana priof CHF89. In three years’ time, the bonis expecteto have a priof CHF95.25. If purchasetoy, the bons expecteannualizereturn is closest to: A.0.58 percent.B.1.64 percent.C.2.29 percent. C is correct. The FV of the bonis CHF95.25, the PV is CHF89, anthe number of annuperio (t) is 3. 2.29 percent=(95.25/89)1/3-1A is incorrethe result is riveusing t of 12. B is incorrethis result is riveusing a PV of CHF95.25 anFV of 100. 这题为啥不能考虑用连续复利的方法来计算呀

2024-05-24 09:35 1 · 回答

NO.PZ2023052407000005 问题如下 Consir a Swiss Conferation zero-coupon bonwith a pvalue of CHF100, a remaining time to maturity of 12 years ana priof CHF89. In three years’ time, the bonis expecteto have a priof CHF95.25. If purchasetoy, the bons expecteannualizereturn is closest to: A.0.58 percent. B.1.64 percent. C.2.29 percent. C is correct. The FV of the bonis CHF95.25, the PV is CHF89, anthe number of annuperio (t) is 3. 2.29 percent=(95.25/89)1/3-1A is incorrethe result is riveusing t of 12. B is incorrethis result is riveusing a PV of CHF95.25 anFV of 100. PV=-95.25,FV=100,N=9,PMT=0,求I/Y

2024-05-15 15:12 1 · 回答

NO.PZ2023052407000005 问题如下 Consir a Swiss Conferation zero-coupon bonwith a pvalue of CHF100, a remaining time to maturity of 12 years ana priof CHF89. In three years’ time, the bonis expecteto have a priof CHF95.25. If purchasetoy, the bons expecteannualizereturn is closest to: A.0.58 percent. B.1.64 percent. C.2.29 percent. C is correct. The FV of the bonis CHF95.25, the PV is CHF89, anthe number of annuperio (t) is 3. 2.29 percent=(95.25/89)1/3-1A is incorrethe result is riveusing t of 12. B is incorrethis result is riveusing a PV of CHF95.25 anFV of 100. 我用计算器PV=-89，PMT=0，FV95.25，N=3这么得出2.2881是不是这么算也正确？

2024-04-03 22:50 1 · 回答