NO.PZ2023090201000060
问题如下:
An analyst gathers the following information about a spot curve. If the coupon rate of a 3-year annual-pay bond is 4%, the price of the bond is closest to:
选项:
A.97.28
B.99.86
C.100.00
解释:
B is correct.
The price of a bond can be calculated using the following formula:
PV = 4/(1+0.06) + 4/(1+0.05)2 + (4+100)/(1+0.04)3 = 4/1.06 + 4/1.1025 + 104/1.1249 = 3.77358+ 3.62812 + 92.4556 = 99.8573 ≈ 99.86.
考点:spot rate
解析:债券一年付息一次,前两年的现金流为coupon=4,第三年的现金流为coupon+本金=104,第一年的现金流用S1(6%)折现,第二年的现金流用S2(5%)折现,第三年的现金流用S3(4%)折现,将折现值求和即可。
spot curve在计算上与spot rate有何区别?