NO.PZ2023090201000055
问题如下:
Using the following US Treasury forward rates, the value of a 2.5-year $100 par value Treasury bond with a 5% coupon rate is closest to:
选项:
A.$101.52
B.
$104.87
C.$106.83
解释:
C is correct.
The value of the bond is:
考点:forward rate
解析:债券是半年付息一次,表格中给出的远期利率均为年化的形式,所以在折现时需要除以2。前四期的现金流为一期的coupon payment = 5/2 = 2.5,第五期现金流为本金+coupon = 102.5
表格中的forward rate如何确定从哪个时间点开始?