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Maggie · 2025年02月06日

这道题为啥不能这么算

  1. CFA I
  2. Fixed Income

NO.PZ2023120801000060

问题如下：

Using the following US Treasury forward rates, the value of a 2½-year $100 par value Treasury bond with a 5% coupon rate is closest to:

选项：

A.

$101.52

B.

$104.87

C.

$106.83

解释：

Correct Answer: C

The value of the bond is


2.5/(1+0.012/2)+2.5/(1+0.018/2)的平方+2.5/(1+0.023/2)的三次方这种方式来计算

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