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lcrcp3 · 2023年10月20日

如题

  1. CFA II
  2. Fixed Income

NO.PZ2016022702000007

问题如下：

A one-year zero-coupon bond yields 4.0%. The two- and three-year zero-coupon bonds yield 5.0% and 6.0% respectively.

The five-year spot rate is not given above; however, the forward price for a two-year zero-coupon bond beginning in three years is known to be 0.8479. The price today of a five-year zero-coupon bond is closest to:

选项：

A.

0.7119.

B.

0.7835.

C.

0.9524.

解释：

A is correct.

1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396

The forward pricing model can be used to find the price of the five-year zero as

P(T*+T)=P(T*)F(T*,T), SO P(5)=P(3)F(3,2)= 0.8396 x 0.8479 = 0.7119.

考点：forward pricing model

首先将即期利率转化成即期价格P(3)= 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396。通过forward pricing model得到五年期零息债券的价格，即P(T*+T)=P(T*)F(T*,T)，所以P(5)=P(3)×F(3,2)=0.8396×0.8479=0.7119。

P3的正确理解方法应该是，n＝3，I/Y＝6，FV＝1，PMT＝0，求PV，我看了那些解释就没有说到点上的，不会的人还是理解不了说的是个啥，看我说的这个我相信没人会不懂。

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1 个答案

pzqa31 · 2023年10月21日

嗨，爱思考的PZer你好：


同学，你说的对。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

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