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lcrcp3 · 2023年09月30日

如题

NO.PZ2023040701000037

问题如下:

Tatton uses the benchmark yield curve provided in Exhibit 2 to consider arbitrage opportunities. The benchmark bonds in Exhibit 2 pay coupons annually, and the bonds are priced at par.

Exhibit 2. Benchmark Par Curve

Tatton then identifies a mispriced three-year annual-pay bond.

The amount (in absolute terms) by which the Hutto-Barkley corporate bond is mispriced is closest to:

选项:

A.

0.3368 per 100 of par value.

B.

0.4682 per 100 of par value.

C.

0.5156 per 100 of par value.

解释:

Correct Answer: C

The first step in the solution is to find the correct spot rate (zero-coupon rates) for each year’s cash flow. The benchmark bonds in Exhibit 2 are conveniently priced at par so the yields to maturity and the coupon rates on the bonds are the same. Because the one-year issue has only one cash flow remaining, the YTM equals the spot rate of 3% (or z1 = 3%). The spot rates for Year 2 (z2) and Year 3 (z3) are calculated as follows:


Therefore, the bond is mispriced by 94.4828 – 94.9984 = –0.5156 per 100 of par value.

A is incorrect because the correct spot rates are not calculated and instead the Hutto-Barkley Inc. bond is discounted using the respective YTM for each maturity. Therefore, this leads to an incorrect mispricing of 94.6616 – 94.9984 = –0.3368 per 100 of par value.

B is incorrect because the spot rates are derived using the coupon rate for Year 3 (maturity) instead of using each year’s respective coupon rate to employ the bootstrap methodology. This leads to an incorrect mispricing of 94.5302 – 94.9984 = –0.4682 per 100 of par value.

都告诉YTM 了,为什么不能用N=3,FV=100,PMT=3,IY=5.6,得出PV,PV和市价的差就是错误定价

1 个答案
已采纳答案

pzqa015 · 2023年10月01日

嗨,爱思考的PZer你好:


只有spot rate计算的价格,才是无套利价格,用它来判断Misprice多少,ytm计算的并不是无套利价格,不能用来判断misprice。

这是一个很重要的知识点,请同学一定要掌握。

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YAO Monica · 2024年05月16日

那用forwar rate代替spot rate求的是什么value?预期bond value吗?

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