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karweillas · 2024年07月19日

这个其实就是把题目给的FP=0.8479用3年期par rate往前折三年的意思吗？

  1. CFA II
  2. Fixed Income

NO.PZ2016022702000007

问题如下：

A one-year zero-coupon bond yields 4.0%. The two- and three-year zero-coupon bonds yield 5.0% and 6.0% respectively.

The five-year spot rate is not given above; however, the forward price for a two-year zero-coupon bond beginning in three years is known to be 0.8479. The price today of a five-year zero-coupon bond is closest to:

选项：

A.

0.7119.

B.

0.7835.

C.

0.9524.

解释：

A is correct.

1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396

The forward pricing model can be used to find the price of the five-year zero as

P(T*+T)=P(T*)F(T*,T), SO P(5)=P(3)F(3,2)= 0.8396 x 0.8479 = 0.7119.

考点：forward pricing model

首先将即期利率转化成即期价格P(3)= 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396。通过forward pricing model得到五年期零息债券的价格，即P(T*+T)=P(T*)F(T*,T)，所以P(5)=P(3)×F(3,2)=0.8396×0.8479=0.7119。

如题

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1 个答案

吴昊_品职助教 · 2024年07月22日

嗨，从没放弃的小努力你好：


本题考点是forward pricing model，和par rate没有关系。

根据forward rate和spot rate之间的关系可得：[(1+S3)^3]*[1+f(3,2)]^2=(1+S5)^5，代表的是一次性投资三年，并在三年末再投资两年；等价于一次性投资五年。

在上述式子的基础上，两边取倒数，P(3)×F(3,2)=P(5)。其中1/[(1+S3)^3]=P(3)=DF(3)=0.8396，F(3,2)=0.8479，代入即可得P(5)

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2016022702000007问题如下 A one-yezero-coupon bonyiel 4.0%. The two- anthree-yezero-coupon bon yiel5.0% an6.0% respectively.The five-yespot rate is not given above; however, the forwarprifor a two-yezero-coupon bonbeginning in three years is known to 0.8479. The pritoy of a five-yezero-coupon bonis closest to: A.0.7119.B.0.7835.C.0.9524. A is correct. 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31​=0.8396The forwarpricing mol cuseto finthe priof the five-yezero P(T*+T)=P(T*)F(T*,T), SO P(5)=P(3)F(3,2)= 0.8396 x 0.8479 = 0.7119.考点forwarpricing mol首先将即期利率转化成即期价格P(3)= 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31​=0.8396。通过forwarpricing mol得到五年期零息债券的价格，即P(T*+T)=P(T*)F(T*,T)，所以P(5)=P(3)×F(3,2)=0.8396×0.8479=0.7119。 P3的正确理解方法应该是，n＝3，I/Y＝6，FV＝1，PMT＝0，求PV，我看了那些就没有说到点上的，不会的人还是理解不了说的是个啥，看我说的这个我相信没人会不懂。

2023-10-20 14:20 1 · 回答

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NO.PZ2016022702000007 P(3)=1/[(1+S3)^3]=1/(1.06)^3=0.8396 为什么要这么算？ 具体在哪个视频里有讲解？

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NO.PZ2016022702000007 为什么 我先算出S5,用1/(1+S5)^5,算出来不是同一个呢？

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