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Ryan the Great · 2024年08月08日

这道题不对吧

NO.PZ2023090201000059

问题如下:

A bond trading at its no-arbitrage value is priced at a premium. The sum of the present value of the bond's cash flows discounted at spot rates is:

选项:

A.greater than the sum of the present values of the bond's cash flows discounted at its yield to maturity. B.equal to the sum of the present values of the bond's cash flows discounted at its yield to maturity. C.less than the sum of the present values of the bond's cash flows discounted at its yield to maturity.

解释:

B is correct.

The bond price (or value) determined using the spot rates is sometimes referred to as the bond’s 'no-arbitrage value'. If the current market price equals the 'no-arbitrage value, discounting the cash flows by either spot rates or yield to maturity arrives to the same price.

考点:no-arbitrage value

解析:使用即期利率折现得到的债券价格是债券的无套利价格。如果当前市场价格等于无套利价格,也就说明债券定价准确。那么,无论使用即期利率还是使用到期收益率折现得到的价格必然是相同的。如若不同,就会存在套利机会。

不是溢价了么

priced at a premium

1 个答案

吴昊_品职助教 · 2024年08月08日

嗨,努力学习的PZer你好:


1、priced at a premium代表的是现在的无套利价格(用spot rate折现得到的价格)大于债券面值。也就是债券价格大于债券面值。

2、既然是无套利价格,那无论是用spot rate折现,还是用YTM折现,得到的价格都是一样的。(所以B选项是正确的。)否则就会存在套利空间,不符合题干描述的no-arbitrage。

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