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momo · 2023年11月05日

rate

  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.

为什么不能按照12年的fv=100的方式计算呢

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1 个答案

星星_品职助教 · 2023年11月06日

同学你好，

本题明确给出三年后的expected price，问的也是expected annualized return，很明显就是要根据三年这个条件来求解。

如果用12年，则三年后的expected price给的没有任何意义，问法也应该是求yield to maturity。

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