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

小范范 · 2018年10月14日

问一道题:NO.PZ2016031001000067 [ CFA I ]

问题如下图:

选项:

A.

B.

C.

解释:

这道题用1.08*1.09*1.1再开三次方来求为啥不对呢?

1 个答案
已采纳答案

V哥_品职助教 · 2018年10月15日

因为求的是债券的YTM,和coupon,maturity都有关系。


不是求spot rate的加权平均值。


市场上一个时刻只有一个spot rate curve。按照你的算法,不就所有相同期限的债券的YTM都一样了吗。。。

  • 1

    回答
  • 0

    关注
  • 295

    浏览
相关问题

NO.PZ2016031001000067 问题如下 Baseupon the given sequenof spot rates, the yielto-maturity of BonZ is closest to: A.9.00%. B.9.92%. C.11.93% B is correct.The yielto-maturity is closest to 9.92%. The formula for calculating the priof BonZ is:PV=PMT(1+Z1)1+PMT(1+Z2)2+PMT+FV(1+Z3)3PV=\frac{PMT}{{(1+Z_1)}^1}+\frac{PMT}{{(1+Z_2)}^2}+\frac{PMT+FV}{{(1+Z_3)}^3}PV=(1+Z1​)1PMT​+(1+Z2​)2PMT​+(1+Z3​)3PMT+FV​PV=6(1+0.08)1+6(1+0.09)2+6+100(1+0.10)3PV=\frac6{{(1+0.08)}^1}+\frac6{{(1+0.09)}^2}+\frac{6\text{+}100}{{(1+0.10)}^3}PV=(1+0.08)16​+(1+0.09)26​+(1+0.10)36+100​PV = 5.56 + 5.05 + 79.64 = 90.25Using this price, the bons yielto-maturity ccalculateas:PV=PMT(1+r)1+PMT(1+r)2+PMT+FV(1+r)3PV=\frac{PMT}{{(1+\text{r})}^1}+\frac{PMT}{{(1+\text{r})}^2}+\frac{PMT+FV}{{(1+\text{r})}^3}PV=(1+r)1PMT​+(1+r)2PMT​+(1+r)3PMT+FV​90.25=6(1+r)1+6(1+r)2+6+100(1+r)390.25=\frac6{{(1+\text{r})}^1}+\frac6{{(1+\text{r})}^2}+\frac{6\text{+}100}{{(1+\text{r})}^3}90.25=(1+r)16​+(1+r)26​+(1+r)36+100​r = 9.92%考点Pricing Bon with Spot Rates解析表格前三列代表的是债券X按年支付的Coupon rate是8%,还有3年时间到期。债券Y按年支付的Coupon rate是7%,还有3年时间到期。债券Z按年支付的Coupon rate是6%,还有3年时间到期。三个债券都有三年的期限。表格后两列代表的是第一年的Spot rate是8%,第二年的Spot rate是9%,第三年的Spot rate是10%。所以相对应的,第一年现金流用8%折现,第二年用9%,第三年用10%。通过未来现金流折现求和,第一年的现金流(6)用S1(8%)折现,第二年的现金流(6)用S2(9%)折现,第三年的现金流(6+100)用S3(10%)折现,可得债券价格为90.25。利用计算器N=3,PMT=6,PV= -90.25,FV=100,求得I/Y=9.915,故B正确。 N=3 PV=-90.245004 PMT=6 FV=100 - I/Y=-2.937*

2023-03-11 05:43 1 · 回答

我没算出这个题目的三个答案,我的思路是,P=7/(1+9%)+8(1+8%)^2+106/(1+10)^3=92.9201,然后再用计算器PV=-92.9201,PMT=6,N=3,FV=100,算出I/Y=8.7863,请帮我剖析一下我的错误啊,谢谢!

2020-07-26 16:35 1 · 回答

9.92%. 11.93% B is correct. The yielto-maturity is closest to 9.92%. The formula for calculating the priof BonZ is: PV=PMT(1+Z1)1+PMT(1+Z2)2+PMT+FV(1+Z3)3PV=\frac{PMT}{{(1+Z_1)}^1}+\frac{PMT}{{(1+Z_2)}^2}+\frac{PMT+FV}{{(1+Z_3)}^3}PV=(1+Z1​)1PMT​+(1+Z2​)2PMT​+(1+Z3​)3PMT+FV​ where: PV = present value, or the priof the bonPMT = coupon payment per perioFV = future value paimaturity, or the pvalue of the bonZ1= spot rate, or the zero-coupon yiel or zero rate, for perio1 Z2= spot rate, or the zero-coupon yiel or zero rate, for perio2 Z3=spot rate, or the zero-coupon yiel or zero rate, for perio3 PV=6(1+0.08)1+6(1+0.09)2+6+100(1+0.10)3PV=\frac6{{(1+0.08)}^1}+\frac6{{(1+0.09)}^2}+\frac{6\text{+}100}{{(1+0.10)}^3}PV=(1+0.08)16​+(1+0.09)26​+(1+0.10)36+100​ PV = 5.56 + 5.05 + 79.64 = 90.25 Using this price, the bons yielto-maturity ccalculateas: PV=PMT(1+r)1+PMT(1+r)2+PMT+FV(1+r)3PV=\frac{PMT}{{(1+\text{r})}^1}+\frac{PMT}{{(1+\text{r})}^2}+\frac{PMT+FV}{{(1+\text{r})}^3}PV=(1+r)1PMT​+(1+r)2PMT​+(1+r)3PMT+FV​ 90.25=6(1+r)1+6(1+r)2+6+100(1+r)390.25=\frac6{{(1+\text{r})}^1}+\frac6{{(1+\text{r})}^2}+\frac{6\text{+}100}{{(1+\text{r})}^3}90.25=(1+r)16​+(1+r)26​+(1+r)36+100​ r = 9.92% 老师,请问z1z2z3的数是哪里来的?没太理解

2020-03-18 08:48 1 · 回答

9.92%. 11.93% B is correct. The yielto-maturity is closest to 9.92%. The formula for calculating the priof BonZ is: PV=PMT(1+Z1)1+PMT(1+Z2)2+PMT+FV(1+Z3)3PV=\frac{PMT}{{(1+Z_1)}^1}+\frac{PMT}{{(1+Z_2)}^2}+\frac{PMT+FV}{{(1+Z_3)}^3}PV=(1+Z1​)1PMT​+(1+Z2​)2PMT​+(1+Z3​)3PMT+FV​ where: PV = present value, or the priof the bonPMT = coupon payment per perioFV = future value paimaturity, or the pvalue of the bonZ1= spot rate, or the zero-coupon yiel or zero rate, for perio1 Z2= spot rate, or the zero-coupon yiel or zero rate, for perio2 Z3=spot rate, or the zero-coupon yiel or zero rate, for perio3 PV=6(1+0.08)1+6(1+0.09)2+6+100(1+0.10)3PV=\frac6{{(1+0.08)}^1}+\frac6{{(1+0.09)}^2}+\frac{6\text{+}100}{{(1+0.10)}^3}PV=(1+0.08)16​+(1+0.09)26​+(1+0.10)36+100​ PV = 5.56 + 5.05 + 79.64 = 90.25 Using this price, the bons yielto-maturity ccalculateas: PV=PMT(1+r)1+PMT(1+r)2+PMT+FV(1+r)3PV=\frac{PMT}{{(1+\text{r})}^1}+\frac{PMT}{{(1+\text{r})}^2}+\frac{PMT+FV}{{(1+\text{r})}^3}PV=(1+r)1PMT​+(1+r)2PMT​+(1+r)3PMT+FV​ 90.25=6(1+r)1+6(1+r)2+6+100(1+r)390.25=\frac6{{(1+\text{r})}^1}+\frac6{{(1+\text{r})}^2}+\frac{6\text{+}100}{{(1+\text{r})}^3}90.25=(1+r)16​+(1+r)26​+(1+r)36+100​ r = 9.92%这道题可以想成与几个spot rate有关的YTM,可以看成是spot rate的打包价,最后一笔本金加利息的现金流最大,所以占比最大。所以最接近S3=10%,吗?

2020-03-15 15:30 1 · 回答

为什么这道题可以用XY在第一年和第二年的spot rate 来计算Z 的 YTM 呢?觉得XY coupon 和Z也不同诶

2020-03-12 18:05 1 · 回答