开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

台风来了 · 2024年01月17日

关于题目的forward price的理解。

  1. CFA II
  2. Fixed Income

NO.PZ2016022702000009

问题如下：

The one-year spot rate r(1) = 5% and the forward price for a one-year zero-coupon bond beginning in one year is 0.9346. The spot price of a two-year zero-coupon bond is closest to:

选项：

A.

0.87.

B.

0.89.

C.

0.93.

解释：

B is correct.

We can convert spot rates to spot prices and use the forward pricing model, so have P(1)= 1(1.05)1=0.9524\frac1{{(1.05)}^1}=0.9524

The forward pricing model is P(T*+T)=P(T*)F(T*,T),

so P(2)=P(1)F(1,1)= 0.9524 × 0.9346 = 0.8901

考点：forward pricing model

我们可以将即期利率转化成即期价格P(1)=1/(1.05)=0.9524。再通过forward pricing model，P(T*+T)=P(T*)F(T*,T)，得到P(2)=P(1)×F(1,1)=0.9524×0.9346=0.8901。

老师，您好！题目所说“the forward price for a one-year zero-coupon bond beginning in one year is 0.9346”，我理解这个远期合约的价格是远期的流入现金流在第二年年末经过f1,1 和 r1两次折现后得到的0.9346，即0.9346 = (1/r1)*(1/f1,1)，是这样吗？

添加评论
1 个答案

pzqa31 · 2024年01月18日

嗨，从没放弃的小努力你好：


不是，是F(1,1)，也就是用f(1,1)折现的，在T=1这个时间点的远期价格。可以参考老师上课讲过的相关知识点。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 1

    回答

  • 0

    关注

  • 277

    浏览
相关问题

NO.PZ2016022702000009 问题如下 The one-yespot rate r(1) = 5% anthe forwarprifor a one-yezero-coupon bonbeginning in one yeis 0.9346. The spot priof a two-yezero-coupon bonis closest to: A.0.87. B.0.89. C.0.93. B is correct.We cconvert spot rates to spot prices anuse the forwarpricing mol, so have P(1)= 1(1.05)1=0.9524\frac1{{(1.05)}^1}=0.9524(1.05)11​=0.9524The forwarpricing mol is P(T*+T)=P(T*)F(T*,T), so P(2)=P(1)F(1,1)= 0.9524 × 0.9346 = 0.8901考点forwarpricing mol我们可以将即期利率转化成即期价格P(1)=1/(1.05)=0.9524。再通过forwarpricing mol，P(T*+T)=P(T*)F(T*,T)，得到P(2)=P(1)×F(1,1)=0.9524×0.9346=0.8901。 如题，可否用这个公式写一下计算过程，谢谢！

2023-10-11 09:34 3 · 回答

NO.PZ2016022702000009 问题如下 The one-yespot rate r(1) = 5% anthe forwarprifor a one-yezero-coupon bonbeginning in one yeis 0.9346. The spot priof a two-yezero-coupon bonis closest to: A.0.87. B.0.89. C.0.93. B is correct.We cconvert spot rates to spot prices anuse the forwarpricing mol, so have P(1)= 1(1.05)1=0.9524\frac1{{(1.05)}^1}=0.9524(1.05)11​=0.9524The forwarpricing mol is P(T*+T)=P(T*)F(T*,T), so P(2)=P(1)F(1,1)= 0.9524 × 0.9346 = 0.8901考点forwarpricing mol我们可以将即期利率转化成即期价格P(1)=1/(1.05)=0.9524。再通过forwarpricing mol，P(T*+T)=P(T*)F(T*,T)，得到P(2)=P(1)×F(1,1)=0.9524×0.9346=0.8901。 先用1/0.9346计算出f(1.1)=6%，然后再一并折现成价格计算

2023-06-29 07:36 1 · 回答

NO.PZ2016022702000009问题如下The one-yespot rate r(1) = 5% anthe forwarprifor a one-yezero-coupon bonbeginning in one yeis 0.9346. The spot priof a two-yezero-coupon bonis closest to: A.0.87. B.0.89. C.0.93. B is correct.We cconvert spot rates to spot prices anuse the forwarpricing mol, so have P(1)= 1(1.05)1=0.9524\frac1{{(1.05)}^1}=0.9524(1.05)11​=0.9524The forwarpricing mol is P(T*+T)=P(T*)F(T*,T), so P(2)=P(1)F(1,1)= 0.9524 × 0.9346 = 0.8901考点forwarpricing mol我们可以将即期利率转化成即期价格P(1)=1/(1.05)=0.9524。再通过forwarpricing mol，P(T*+T)=P(T*)F(T*,T)，得到P(2)=P(1)×F(1,1)=0.9524×0.9346=0.8901。 请问期利率转化成即期价格的原理是什么？假设面值=1，求t=0时刻price，是这么理解吗？

2022-04-18 09:32 1 · 回答

NO.PZ2016022702000009 P2=P1*远期汇率 为什么直接把0.9346带进去 P1=1/R1这个可以理解但是这个远期汇率没有懂为什么直接带入已知条件的P的价格

2021-04-26 13:26 1 · 回答