NO.PZ2023120801000055
问题如下：
DMT Corp. issued a five-year floating-rate note (FRN) that pays a quarterly coupon of three-month MRR plus 125 bps. The FRN is priced at 96 per 100 of par value. Assuming a 30/360 day-count convention, evenly spaced periods, and constant three-month MRR of 5%, the discount margin for the FRN is closest to:
选项：
A.221 bps
400 bps
180 bps
解释：
Correct Answer: A
The interest payment each period per 100 of par value is:
The discount margin can be estimated by solving for DM in the equation:
The Correct Answer for the discount rate, r = (0.05+DM)/4 is 1.8025%.
Therefore DM = 2.21%, or 221 bps.
你好，我解出来的答案有出入，请老师给看看哪里出问题了呢？
1, 算出pmt: (5%+125bps )/4*100=1.5625
2,用pv=-96,fv=100,pmt=1.5625,n=4 求出I/Y=2.62908
3, discount rate- mrr= discounted margin 2.62908*2-5=0.258159
