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.anna. · 2024年05月07日

PMT为什么不用除4

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000032

问题如下：

A two-year Italian floating-rate note pays three-month Euribor of –0.50% plus 250 bp. The floater is priced at 99 per 100 of par value. Assuming the 30/360 day-count convention and evenly spaced periods, the discount margin for the floater is closest to:

选项：

A.

201 bps

B.

251 bps

C.

300 bps

解释：

The discount margin for the floater is closest to 300 bps. Using the information provided, the periodic PMT is equal to

Using PV = –99, FV = 100, PMT = 0.5, and N = 8, we solve for the discount rate per period of 0.628562%. The discount margin can be estimated by solving for DM:


这道题的PMT为什么不用➗4 而另一题半年付息的PMT要➗2？

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1 个答案

吴昊_品职助教 · 2024年05月08日

嗨，爱思考的PZer你好：


three-month Euribor of –0.50% plus 250 bp，债券一年付息四次，所以这道题PMT也是除以4的。

年化的coupon rate = –0.50% + 2.5% = 2%，所以一期的coupon payment = 100×2%/4 = 0.5

我们题目中公式也是除以了4。

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