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梦梦 · 2024年06月11日

可以用(Z1+Z2+Z3)/3求yield rate吗

NO.PZ2019052801000034

问题如下:

Assume that the annual continuously compounded spot rates are: Z1=5%,Z_1=5\%, Z2=5.1%,Z_2=5.1\%, Z3=5.2%,Z_3=5.2\%,The 1.5-year bond has a $100 face value, 6% semiannual coupon payment. Calculate the bond price:

选项:

A.

$98.34.

B.

$99.73.

C.

$100.52.

D.

$101.05.

解释:

D is correct.

考点:Interest Rate

解析:

lB=3×e[(0.05/2)×1]+3×e[(0.051/2)×2]+103×e[(0.052/2)×3]=2.93+2.85+95.27=$101.05{l}B=3\times e^{\lbrack{(-0.05/2)}\times1\rbrack}+3\times e^{\lbrack{(-0.051/2)}\times2\rbrack}+103\times e^{\lbrack{(-0.052/2)}\times3\rbrack}\\=2.93+2.85+95.27=\$101.05

老师您好,之前课程里讲过,yield rate是0息债利率的平均数,那我可以先(Z1+Z2+Z3)/3求出yield rate,然后用连续复利的方式求吗?但我按计算器是42?差好多

2 个答案

李坏_品职助教 · 2024年06月12日

嗨,爱思考的PZer你好:


对的,就是e的[ ]次方

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努力的时光都是限量版,加油!

李坏_品职助教 · 2024年06月11日

嗨,从没放弃的小努力你好:


不能直接加起来除以3。“yield rate是0息债利率的平均数”只是一个很粗犷的判断,不能直接拿来做计算题。


这道题如果要求yield rate,应该这样算:

e[(−0.05/2)×1]+3×e[(−0.051/2)×2]+103×e[(−0.052/2)×3] = 3×e[(−yield/2)×1]+3×e[(−yield/2)×2]+103×e[(−yield/2)×3],

求出yield即为yield rate。


但这样做是没必要的,因为上面等式左侧直接就求出来了 bond price。



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加油吧,让我们一起遇见更好的自己!

梦梦 · 2024年06月11日

哦!原来如此,您的e后面【】中括号是e的多少次方吧?

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