Assuming the risk premium of duration risk is 50 bps each year

问题如下：

A market risk manager seeks to calculate the price of a 2-year zero-coupon bond. The 1-year interest rate today is 10.0%. There is a 50% probability that the 1-year interest rate will be 12.0% and a 50% probability that it will be 8.0% in 1 year. Assuming the risk premium of duration risk is 50 bps each year, and the bond’s face value is EUR 1,000, which of the following is the correct price of the zero-coupon bond?

选项：

A.

EUR 822.98

B.

EUR 826.74

C.

EUR 905.30

D.

EUR 921.66

解释：

A is correct.

50bp=0.5%=0.005

2年0息债券现金流，在t₁ 时：

V1= 50%(1000/(1.12+0.005)+1000/(1.08+0.005))

折现到t₀ :

V0=V1/1.1= EUR 822.976