NO.PZ2023040701000008
问题如下：
Let’s use the term structure of interest rates to price bonds, and in particular I want you to fully understand the relationships between spot and forward rates and yield to maturity. Use the data in Exhibit 1 to determine whether a 4% coupon Treasury bond, maturing in four years and offered by a dealer at a yield-to-maturity of 7.89% is cheap (buy recommendation), fairly valued (hold recommendation) or rich (sell recommendation) based on arbitrage opportunities.
Based on the data in Exhibit 1 and the yield to maturity quoted by the dealer, what action should an analyst most likely take with regard to the Treasury bond?
选项：
A.
Buy
B.
Hold
C.
Sell
解释：
Correct Answer: C
Since the quoted YTM of 7.89% is more expensive (price = $87.08) than the YTM based on the spot rates of 8.14% (price = $86.34), the analyst should sell the bond.
Step 1: Calculate the year 3 rate from the discount factor.
Step 2: Using the year 3 spot rate and the forward rate f(2,1), calculate the year 2 spot rate.
Step 3: Using the spot rates, calculate the YTM for the bond using your calculator.
YTM = 8.14%.
Step 4: Since the quoted YTM of 7.89% is more expensive (price = $87.08) than the YTM based on the spot rates of 8.14% (price = $86.34), the analyst should sell the bond.
为什使用discount factor算的S3？，为什么不是用forward rate。
