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SYc · 2023年11月26日

ytm

  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.

这里为什么要用ytm来得到pmt呢？这道题出现了ytm和年化利率两个利率。为什么不用年华利率来得到pmt呢？同时出现这两个利率应该怎么区别他们的用途呢？

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1 个答案

星星_品职助教 · 2023年11月27日

同学你好，

PMT为每期固定的现金流。coupon为债券合同约定好的固定付息，PMT是根据coupon得到的。每期PMT=100×10.7%/2=5.35。

YTM为折现率，每期（半年）YTM=11.6%/2=5.8%。YTM是市场利率，用于折现。如果用计算器计算，此项对应的是I/Y。

由此列出答案解析的公式，或者直接用计算器计算。


coupon和YTM的具体内容和性质会在固收科目中讲解。

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