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ninalin · 2018年10月15日

问一道题:NO.PZ2016021705000022 [ CFA I ]

问题如下图:

    

选项:

A.

B.

C.

解释:


老师,face value是Future value和price是present value怎么理解呢?

1 个答案

发亮_品职助教 · 2018年10月16日

如上图是这支债券未来5年的现金流;由于Face Value 1000偿还的时间在未来第五年年末,所以这笔现金流是Future Value;

期间每隔半年的cash flow属于年金形式,PMT=40;

半年付息一次,每半年计一期,所以PMT一共有N=10期,Face Value发生的时期也是第10期

债券未来所有现金流折现求和值是当前的债券价值,也就是本题的900,当前是0时刻,红色箭头表示期初花900买入债券获得未来的所有现金流;900是期初现金流流出,所以是PV

所以PV=-900;PMT=40;N=10;FV=1000 → CPT求semi-annual YTM


这部分是quantitatives折现的内容,后面学科equity,衍生品,固收求价值时一定会用到这部分知识,建议多回看这部分内容巩固基础

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