NO.PZ2019052801000034
问题如下:
Assume that the annual continuously compounded spot rates are: Z1=5%, Z2=5.1%, Z3=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
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