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英俊 · 2024年10月29日

利率的计算

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000032

问题如下：

A two-year Italian floating-rate note pays three-month Euribor of –0.50% plus 250 bp. The floater is priced at 99 per 100 of par value. Assuming the 30/360 day-count convention and evenly spaced periods, the discount margin for the floater is closest to:

选项：

A.

201 bps

B.

251 bps

C.

300 bps

解释：

The discount margin for the floater is closest to 300 bps. Using the information provided, the periodic PMT is equal to

Using PV = –99, FV = 100, PMT = 0.5, and N = 8, we solve for the discount rate per period of 0.628562%. The discount margin can be estimated by solving for DM:


题干中three-month怎么理解？题目中什么时候给定的利率是一期的，什么时候是年化的呢？

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1 个答案

吴昊_品职助教 · 2024年10月30日

嗨，从没放弃的小努力你好：


1、three-month Euribor of –0.50% plus 250 bp，这句话中的两个利率： –0.50%和250 bp都是年化的形式。

原则是：只要是题目中表达出来的利率，都是年化的形式。我们在做题的时候都需要去年化。

2、这个three-month只是告诉我们付息频率而已，本题是一年付息四次，所以所有的利率都需要除以4来去年化。

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