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vvnsw · 2024年08月05日

这题为什么不用12年而是用3年？

  1. CFA I
  2. Quantitative

NO.PZ2023052407000005

问题如下：

Consider a Swiss Confederation zero-coupon bond with a par value of CHF100, a remaining time to maturity of 12 years and a price of CHF89. In three years’ time, the bond is expected to have a price of CHF95.25. If purchased today, the bond’s expected annualized return is closest to:

选项：

A.

0.58 percent.

B.

1.64 percent.

C.

2.29 percent.

解释：

C is correct. The FV of the bond is CHF95.25, the PV is CHF89, and the number of annual periods (t) is 3.

2.29 percent=(95.25/89)1/3-1

A is incorrect as the result is derived using t of 12. B is incorrect as this result is derived using a PV of CHF95.25 and an FV of 100.

搞不懂用哪个年期

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1 个答案

品职助教_七七 · 2024年08月05日

嗨，从没放弃的小努力你好：


这道题专门给出了三年后的预期价格，求的也是预期的收益率（ expected annualized return），很显然应该使用条件给出的三年。

题目也并没有要求计算持有至到期的收益率（YTM）。


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