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wgl · 2024年07月29日

老师，这里的次方里面为什么还要乘以1,2,3？

  1. FRM I
  2. Financial Markets And Products

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，这里的次方里面为什么还要乘以1,2,3？

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1 个答案

品职答疑小助手雍 · 2024年07月29日

同学你好，因为bond是半年付息一次的，所以1年半相当于有3期。那每期的折现率就是年化利率除以2之后乘以1,2,3。

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