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洪铭泉 · 2024年08月07日

未来还剩两年怎么看出来的

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000041

问题如下：

An investor purchases an eight-year, 6.4% annual coupon eurobond priced at par and sells it after six years. Assuming interest rates rise by 100 bps immediately after purchase, the investor’s rate of return at the end of six years is:

选项：

A.

lower than 6.4%.

B.

equal to 6.4%.

C.

higher than 6.4%.

解释：

A is correct. The future value of reinvested coupon interest is

= FV(0.074,6,6.4,0,0) = 46.245.

The sale price of the bond at the end of six years is

= PV(0.074,2,6.40,100,0) = 98.202,

which results in a six-year horizon yield of 6.32%, which is lower than 6.40%:


B and C are incorrect, because interest rates have risen and the investor’s investment horizon is not long enough to offset the price decline with additional reinvestment return.

六年后卖出的价格sell price是未来现金流折现求和：未来还剩两年，N=2；YTM=7.4；PMT=6.4；最后面值FV=100，折现得到PV=98.202

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吴昊_品职助教 · 2024年08月08日

嗨，爱思考的PZer你好：


An investor purchases an eight-year，这句话代表这个债券期限一共是八年。

the investor’s rate of return at the end of six years is，现在要我们计算的是站在第六年末的收益率。

一共八年，站在第六年末，债券未来还剩有两年的存续期。

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