开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

游游 · 2024年10月20日

零息的YTM

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000084

问题如下：

Given the following bonds and forward rates:

1-year forward rate one year from today = 9.56%

1-year forward rate two years from today = 10.77%

2-year forward rate one year from today = 11.32%

Which of the following statements about the forward rates, based on the bond prices, is true?

选项：

A.

The 1-year forward rate one year from today is too low.

B.

The 2-year forward rate one year from today is too high.

C.

The 1-year forward rate two years from today is too low.

D.

The forward rates and bond prices provide no opportunities for arbitrage.

解释：

1-year forward rate one year from today = 1.072/1.045 – 1 = 9.56%

1-year forward rate two years from today = 1.093/1.072 – 1 = 13.11%

2-year forward rate one year from today = (1.093/1.045)0.5 – 1 = 11.32%

是不是可以理解为零息债券的YTM与spot rate就是一样的？

添加评论
1 个答案
已采纳答案

pzqa39 · 2024年10月21日

嗨，努力学习的PZer你好：


是的，可以这么理解，由于零息债券没有中间的现金流（利息支付），它的唯一现金流是到期时的面值支付，因此，投资者购买零息债券的回报完全来自于到期时的面值。为了计算债券的现值，我们需要使用即期利率来折现到期时的面值。因此，零息债券的 YTM 实际上就是与其相对应期限的即期利率。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 0

    关注

  • 33

    浏览
相关问题

NO.PZ2023091802000084 问题如下 Given the followingbon anforwarrates: 1-yeforwarrate one yefrom toy = 9.56% 1-yeforwarrate two years from toy =10.77% 2-yeforwarrate one yefrom toy =11.32% Whiof the following statements about theforwarrates, baseon the bonprices, is true? A.The 1-yeforwarrate one yefrom toy is too low. B.The 2-yeforwarrate one yefrom toy is too high. C.The 1-yeforwarrate two years from toy is too low. The forwarrates anbonprices provi no opportunities for arbitrage. 1-yeforwarrate one yefrom toy = 1.072/1.045 – 1 = 9.56% 1-yearforwarrate two years from toy = 1.093/1.072 – 1 = 13.11% 2-yearforwarrate one yefrom toy = (1.093/1.045)0.5– 1 = 11.32% 这是哪章的内容，麻烦解析，谢谢

2024-10-19 15:48 1 · 回答

NO.PZ2023091802000084 问题如下 Given the followingbon anforwarrates: 1-yeforwarrate one yefrom toy = 9.56% 1-yeforwarrate two years from toy =10.77% 2-yeforwarrate one yefrom toy =11.32% Whiof the following statements about theforwarrates, baseon the bonprices, is true? A.The 1-yeforwarrate one yefrom toy is too low. B.The 2-yeforwarrate one yefrom toy is too high. C.The 1-yeforwarrate two years from toy is too low. The forwarrates anbonprices provi no opportunities for arbitrage. 1-yeforwarrate one yefrom toy = 1.072/1.045 – 1 = 9.56% 1-yearforwarrate two years from toy = 1.093/1.072 – 1 = 13.11% 2-yearforwarrate one yefrom toy = (1.093/1.045)0.5– 1 = 11.32%

2024-04-27 21:23 1 · 回答

NO.PZ2023091802000084 问题如下 Given the followingbon anforwarrates: 1-yeforwarrate one yefrom toy = 9.56% 1-yeforwarrate two years from toy =10.77% 2-yeforwarrate one yefrom toy =11.32% Whiof the following statements about theforwarrates, baseon the bonprices, is true? A.The 1-yeforwarrate one yefrom toy is too low. B.The 2-yeforwarrate one yefrom toy is too high. C.The 1-yeforwarrate two years from toy is too low. The forwarrates anbonprices provi no opportunities for arbitrage. 1-yeforwarrate one yefrom toy = 1.072/1.045 – 1 = 9.56% 1-yearforwarrate two years from toy = 1.093/1.072 – 1 = 13.11% 2-yearforwarrate one yefrom toy = (1.093/1.045)0.5– 1 = 11.32% 题目没给，怎么区分单利还是复利？

2023-10-21 14:15 1 · 回答