NO.PZ2023052301000041
问题如下:
An investor purchases an eight-year, 6.4% annual coupon eurobond priced at par (settlement: 15 June 2031; maturity: 15 December 2039) and sells it after six years. Assuming interest rates rise by 100 bps immediately after purchase, the investor’s rate of return at the end of six years is:
选项:
A.
lower than 6.4%.
B.
equal to 6.4%.
C.
higher than 6.4%.
解释:
A is correct. The future value of reinvested coupon interest is
= FV(0.054,6,6.4,0,0) = 46.245.
The sale price of the bond at the end of six years is
= PV(0.054,2,6.40,100,0) = 98.202,
which results in a six-year horizon yield of 6.32%, which is lower than 6.40%:
B and C are incorrect, because interest rates have risen and the investor’s investment horizon is not long enough to offset the price decline with additional reinvestment return.
利率增加100bps,为何RI变成5.4%? 另外,为何FV不包含当期利息?谢谢