NO.PZ201701230200000105
问题如下：
5. For Assignment 1, the yield to maturity for Bond Z is closest to the:
选项：
A.one-year spot rate
B.two-year spot rate
C.three-year spot rate
解释：
C is correct.
The yield to maturity, y(3), of Bond Z should be a weighted average of the spot rates used in the valuation of the bond. Because the bond’s largest cash flow occurs in Year 3, r(3) will have a greater weight than r(1) and r(2) in determining y(3).
Using the spot rates:
Price=$60/(1.025)+$60/(1.030)2+$1060/(1.035)3=$1071.16
Using the yield to maturity:
Price=$60/[1+y(3)]+$60/[1+y(3)]2+$1060/[1+y(3)]3=1071.16
Using a calculator, the compute result is y(3)=3.46%, which is closest to the three-year spot rate of
3.5%
老师，我感觉有点内容记混淆了，我记得1级有一个利率的折现的计算，是第一年，用第一年的spot rate，第二年用第一年的spot rate 乘以 第二年的spot rate 折现，第三年用第一年的乘以第二年 再乘以第三年的spot rate 折现，想不起来这个是什么概念？与现在的 每一年折现，都是用当年的spot rate折现的 区别是什么？
