计算结果不对

问题如下：

Investor buys a lower-quality, two-year corporate bond with a coupon rate of 4.15%. Exhibit below shows the Government Spot Rates. The Z-Spreads for the corporate bond is 0.65%.

The bond is most likely trading at a price of:

选项：

A.

100.97.

B.

101.54.

C.

104.09.

解释：

B is correct.

考点：考察Z-spread概念

解析：

由题干已知公司债的Z-spread为0.65%，也已知国债的Spot rate，则这个2年期公司债对应的折现率为：

r(1) = 2.90% = 2.25% + 0.65%,

r(2) = 3.35% = 2.70% + 0.65%，则其价格为：

$p=\frac{4.15}{{(1+0.029)}^1}+\frac{100+4.15}{{(1+0.0335)}^2}=101.54$