NO.PZ2023091802000077
问题如下：
Given a one-year and a three-year zero coupon bonds price of 95.18 and 83.75 respectively, what should be the price of a two year zero coupon bond using linear interpolation on zero rates (semiannual compounding)?
选项：
A.
95.18
B.
89.47
C.
89.72
D.
83.75
解释：
Step 1: Compute semiannual zero rates for the 1-and 3-year bonds.
1-year bond: FV = 100; N = 2; PMT = 0, PV =
-95.18, CPT: I/Y = 2.5008 × 2 = 5.0%
3-year bond: FV = 100; N = 6; PMT = 0, PV =
-83.75, CPT: I/Y = 3 × 2 = 6%
Step 2: Use linear interpolation on zero rates
for 2-year bond
(6% – 5.%)/2 = 0.5%, zero rates for 2-year
bonds = 5% + 0.5% = 5.5%
Step3: Compute 2-year bond price
FV = I00; N = 4; PMT = 0, I/Y = 2.75(5.5/2),
CPT: PV = -89.72
为什么要除2又要乘2。75 2。75哪来的
