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Yvonne0719 · 2024年09月10日

计算器第三行

  1. CFA I
  2. Fixed Income

NO.PZ2016031001000069

问题如下：

Bond G, described in the exhibit below, is sold for settlement on 16 June 2014.

Annual Coupon 5%

Coupon Payment Frequency Semiannual

Interest Payment Dates 10 April and 10 October

Maturity Date 10 October 2016

Day Count Convention 30/360

Annual Yield-to-Maturity 4%

The full price that Bond G will settle at on 16 June 2014 is closest to:

选项：

A.

102.36.

B.

103.10.

C.

103.65.

解释：

B is correct.

The bond’s full price is 103.10. The price is determined in the following manner:As of the beginning of the coupon period on 10 April 2014, there are 2.5 years (5semiannual periods) to maturity. These five semiannual periods occur on 10 October2014, 10 April 2015, 10 October 2015, 10 April 2016 and 10 October 2016.

PV=PMT(1+r)1+PMT(1+r)2+PMT(1+r)3+PMT(1+r)4+PMT+FV(1+r)5PV=\frac{PMT}{{(1+r)}^1}+\frac{PMT}{{(1+r)}^2}+\frac{PMT}{{(1+r)}^3}+\frac{PMT}{{(1+r)}^4}+\frac{PMT+FV}{{(1+r)}^5}

PV=2.5(1+0.02)1+2.5(1+0.02)2+2.5(1+0.02)3+2.5(1+0.02)4+2.5+100(1+0.02)5PV=\frac{2.5}{{(1+0.02)}^1}+\frac{2.5}{{(1+0.02)}^2}+\frac{2.5}{{(1+0.02)}^3}+\frac{2.5}{{(1+0.02)}^4}+\frac{2.5\text{+}100}{{(1+0.02)}^5}

PV = 2.45 + 2.40 + 2.36 + 2.31 + 92.84 = 102.36

The accrued interest period is identified as 66/180. The number of days between10April2014 and 16 June 2014 is 66 days based on the 30/360 day count convention. (This is 20days remaining in April + 30 days in May + 16 days in June = 66 days total). The number of days between coupon periods is assumed to be 180 days using the 30/360 day convention.

PVFull=PV×(1 +r)66/180PV^{Full}=PV\times{(1\text{ }+r)}^{66/180}

PVFull= 102.36×(1.02)66/180= 103.10PV^{Full}=\text{ }102.36\times{(1.02)}^{66/180}=\text{ }103.10

考点：flat price & full price

解析：首先，我们将未来五笔现金流折现到2014.4.10，得到现值之和为102.36。N=5，PMT=2.5，I/Y=2，FV=100，求得PV=102.36

然后再将这个数值复利到2014.6.16，得到full price为103.10，故选项B正确。

我们之所以没有直接将未来五笔现金流折到2014.6.16，是因为五笔现金流的时间间隔不同，后面四笔现金流时间间隔是半年，而从6.16到10.10之间并不是半年。因此现金流就不是一个年金的形式，我们就没有办法用计算器直接求PV了。

N=5，PMT=2.5，I/Y=2，FV=100，这种情况下如果把FV输入为-100，算出的PV就是78.789，请问是为什么？

所以是否FV都是输入为正，PV输入都是为负，才可以得出正确结果？谢谢

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吴昊_品职助教 · 2024年09月11日

嗨，从没放弃的小努力你好：


N=5，PMT=2.5，I/Y=2，FV=100，求得PV=102.36

PMT代表的是期间的现金流（流入），FV代表的是最后一期的本金（流入），PV代表零时刻付出去的成本（流出）。所以这里的正负只代表现金流的不同方向。只要让PMT和FV的符号一致，通常我们取流入为正，那么PV就是负的，代表的流出。

你的列式中，将PMT和FV设置成一正一负，这不符合我们债券现金流的结构，所以是不对的。

----------------------------------------------
努力的时光都是限量版，加油！

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2024-09-28 19:47 1 · 回答

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2024-08-10 22:46 2 · 回答

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2024-07-23 22:03 1 · 回答

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2024-07-23 21:24 2 · 回答