NO.PZ2018123101000078
问题如下：
Hsu also selects the two floating-rate bonds issued by Varlep, plc given in the table below. These bonds have a maturity of three years and the same credit rating.
To value Varlep’s bonds, Hsu constructs the binomial interest rate tree provided in the exhibit below:
The value of Bond #7 is to:
选项：
A.99.697% of par.
B.99.936% of par.
C.101.153% of par.
解释：
A is correct.
考点：利用二叉树模型对浮动利率债券进行估值
解析：
注意因为Bond 7具有利率顶（Capped at 5.00%）,所以高于5的coupon是取不到了，因此高于5的Coupon需要调整到5。如下图红色所示：
我算出了Year 2的98.714和99.991，我看Year 1的利率是可以取到的，那就应该是(98.714+99.991)/2 = 99.353呀
