NO.PZ2023120801000066
问题如下：
An investor purchases an eight-year, 6.4% annual coupon eurobond priced at par and sells it after six years. Assuming interest rates rise by 100 bps immediately after purchase, the investor’s rate of return at the end of six years is:
选项：
A.lower than 6.4%
equal to 6.4%
higher than 6.4%
解释：
Correct Answer: A
The future value of reinvested coupon interest is:
N=6, PV=0, PMT=6.4, I/Y=7.4, CPT→FV=46.245
The sale price of the bond at the end of six years is:
N=2, FV=100, PMT=6.4, I/Y=7.4, CPT→PV=98.202
which results in a six-year horizon yield of 6.32%, which is lower than 6.40%:
这道题目的计算方法能够掌握，此外我还想请问一下如果定性分析的话，怎么分析不通呢？
1，当利率上升100bps的时候， reinvestment 占优势，所以第六年的时候买出total revenue 应该大于 利率没有变化时候的reveune 对吗？
2， pv0*(1+r)6次方=total revenue(大于利率没有变化时候的re venue)
3, 这样应该推出来r 要比6.4%大才合理呢？
