NO.PZ2023091802000079
问题如下:
The table below gives
coupon rates and mid-market price for three U.S. Treasury bonds for settlement
on (as of) May 31, 2013
Which of the following is nearest to the implied discount function (set of discount factors) assuming semi-annual compounding?
选项:
A.d(0.5) = 0.9370, d(1.0) = 0.8667, d(1.5) = 0.9210
B.d(0.5) = 0.9920, d(1.0) = 0.9700, d(1.5) = 0.9350
C.d(0.5) = 0.9999, d(1.0) = 0.7455, d(1.5) = 0.8018
D.d(0.5) = 1.0350, d(1.0) = 1.1175, d(1.5) = 0.6487
解释:
The future value of $1 invested for time t is 1/d(t).