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小鸽鸽 · 2023年10月29日

请问为什么current（第二年）的coupon5.35不用算进去？也就是为什么不是95.39+5.35

  1. CFA I
  2. Quantitative

NO.PZ2023052407000001

问题如下：

Grupo Ignacia issued 10-year corporate bonds two years ago. The bonds pay an annualized coupon of 10.7 percent on a semiannual basis, and the current annualized YTM is 11.6 percent. The current price of Grupo Ignacia’s bonds (per MXN100 of par value) is closest to:

选项：

A.

MXN95.47

B.

MXN97.18

C.

MXN95.39

解释：

C is correct. The coupon payments are 5.35 (=10.7/2), the discount rate is 5.8 percent (=11.6%/2) per period, and the number of periods is 16 (=8×2). Using Equation 6, the calculation is as follows:


Alternatively, using the Microsoft Excel or Google Sheets PV function (PV(0.058,16,5.35,100,0)) also yields a result of MXN95.39.

A is incorrect. MXN95.47 is the result when incorrectly using coupon payments of 10.7, a discount rate of 11.6 percent, and 8 as the number of periods.

B is incorrect. MXN97.18 is the result when using the correct semiannual coupons and discount rate, but incorrectly using 8 as the number of periods.

请问为什么current（第二年）的coupon5.35不用算进去？也就是为什么不是95.39+5.35

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1 个答案

星星_品职助教 · 2023年10月29日

同学你好，

债券的定价是未来的现金流折现，公式里就是从第一期coupon开始折。

即默认为领完现在的这一期coupon后，再去定价。有的题目比较严谨，题干里也会强调一下。

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