问一道题：NO.PZ201701230200000203 第3小题 [ CFA II ]

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这里计算收益为什么是用P2/P4?

一个4年期的债券经过两年后的价格不是F（2,2）么？

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maggie_品职助教 · 2017年02月18日

请注意我们这里是在利用riding the yield curve 策略求的是total return, 请再去听一下下面的视频。

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NO.PZ201701230200000203问题如下3. In presenting Investment 2, Smith shoulshow annureturn closest to:A.4.31%.B.5.42%.C.6.53%.C is correct. The swspreis a common wto incate cret sprea in a market. The four-yeswrate (fixeleg of interest rate swap) cuseincation of the four-yecorporate yiel Ring the yielcurve purchasing a four-yezero-coupon bonwith a yielof 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)4 = 83.058]} anthen selling it when it becomes a two-yezero-coupon bonwith a yielof 3.00% {i.e., 2.70% +0.30%, [P2 = 100/(1 + 0.0300)2 = 94.260]} proces annureturn of 6.53%: (94.260/83.058)0.5 - 1.0 = 0.0653.所以ring the yiel赚的是extra coupon reinvestment return 吧？

2024-07-07 12:45 1 · 回答

NO.PZ201701230200000203问题如下 3. In presenting Investment 2, Smith shoulshow annureturn closest to:A.4.31%.B.5.42%.C.6.53%.C is correct. The swspreis a common wto incate cret sprea in a market. The four-yeswrate (fixeleg of interest rate swap) cuseincation of the four-yecorporate yiel Ring the yielcurve purchasing a four-yezero-coupon bonwith a yielof 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)4 = 83.058]} anthen selling it when it becomes a two-yezero-coupon bonwith a yielof 3.00% {i.e., 2.70% +0.30%, [P2 = 100/(1 + 0.0300)2 = 94.260]} proces annureturn of 6.53%: (94.260/83.058)0.5 - 1.0 = 0.0653.请问这里的P2 P4为什么不能用spot rate 一期期往前折而是直接用了S2 S4

2024-04-17 21:00 1 · 回答

NO.PZ201701230200000203 问题如下 3. In presenting Investment 2, Smith shoulshow annureturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct. The swspreis a common wto incate cret sprea in a market. The four-yeswrate (fixeleg of interest rate swap) cuseincation of the four-yecorporate yiel Ring the yielcurve purchasing a four-yezero-coupon bonwith a yielof 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)4 = 83.058]} anthen selling it when it becomes a two-yezero-coupon bonwith a yielof 3.00% {i.e., 2.70% +0.30%, [P2 = 100/(1 + 0.0300)2 = 94.260]} proces annureturn of 6.53%: (94.260/83.058)0.5 - 1.0 = 0.0653. 两年期折现的时候为什么不用 S2与S4推导出来的 f(2,2) 来折而是用 spot rate

2023-07-11 06:03 1 · 回答

NO.PZ201701230200000203 请问答案说的P4和P2分别是什么？如果是用骑乘策略，不应该是站在第2年末分别算出4年和2年零息债券的价格吗？

2022-01-27 14:45 1 · 回答

NO.PZ201701230200000203 (94.260/83.058)0.5 - 1.0 = 0.0653 不明白使用什么复利公式计算的，麻烦老师一下。

2021-09-10 00:26 1 · 回答

问一道题：NO.PZ201701230200000203 第3小题 [ CFA II ]

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