问题如下图:
选项:
A.
B.
C.
解释:
请教老师:这的total return难道不是holding period return的意思吗?为何还需要年化?
题目中哪里要求是年化的了呀?
吴昊_品职助教 · 2019年01月27日
何老师上课中举的例题(讲义P22页)那道题中投资期是一年,所以算的是持有期收益率,不需要年化。
而本题的投资期为2年,先算持有期收益率,再年化(1+EAR)^2=1+HPR,求得EAR。
加油~
粉红豹 · 2019年01月27日
这类题目都是默认需要年化的吗?
吴昊_品职助教 · 2019年01月28日
对的,因为是复利计算
lubin_626 · 2019年04月20日
想问一下 这是基础课哪节课的内容
吴昊_品职助教 · 2019年04月20日
基础课R34:active bond portfolio management---riding the yield curve。
NO.PZ2018123101000027 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.Smith buys a four-year, zero-coupon corporate bonanthen sell it after two years. Smith illustrates the returns from this strategy using the swrate a proxy for corporate yiel. Smith shoulshow a totreturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct.考点考察Ring the yielcurve策略解析由题干已知,Swrate来代替公司债的收益率;四年期的Swsprea差为0.70%,4年期的国债收益率Government spot rate 为4.05%,则4年期的swrate = 4.05% + 0.70% = 4.75%。因此,购买的4年期零息债券的价格为price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058price=(1+0.0475)4100=83.058两年期的公司债收益率为2年期的Swrate, swrate = 2.70% +0.30% = 3%,4年期的零息债券持有2年后的卖出价格为price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260price=(1+0.0300)2100=94.260则这笔投资的年化总收益为94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%83.05894.260−1=0.0653=6.53% 题目里面算出swrate,可以用它来折现?但是课上说swrate是一种prate?prate我理解就是每期现金流/pincipal的一个比率,应该是用来计算分子的?所以swrate到底是什么?为什么可以用来折现算价格?
NO.PZ2018123101000027 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.Smith buys a four-year, zero-coupon corporate bonanthen sell it after two years. Smith illustrates the returns from this strategy using the swrate a proxy for corporate yiel. Smith shoulshow a totreturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct.考点考察Ring the yielcurve策略解析由题干已知,Swrate来代替公司债的收益率;四年期的Swsprea差为0.70%,4年期的国债收益率Government spot rate 为4.05%,则4年期的swrate = 4.05% + 0.70% = 4.75%。因此,购买的4年期零息债券的价格为price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058price=(1+0.0475)4100=83.058两年期的公司债收益率为2年期的Swrate, swrate = 2.70% +0.30% = 3%,4年期的零息债券持有2年后的卖出价格为price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260price=(1+0.0300)2100=94.260则这笔投资的年化总收益为94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%83.05894.260−1=0.0653=6.53% 关于持有两年后的价格计算,为什么不是用f(2,4)来折现,而是用S2来折现呢
NO.PZ2018123101000027 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.Smith buys a four-year, zero-coupon corporate bonanthen sell it after two years. Smith illustrates the returns from this strategy using the swrate a proxy for corporate yiel. Smith shoulshow a totreturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct.考点考察Ring the yielcurve策略解析由题干已知,Swrate来代替公司债的收益率;四年期的Swsprea差为0.70%,4年期的国债收益率Government spot rate 为4.05%,则4年期的swrate = 4.05% + 0.70% = 4.75%。因此,购买的4年期零息债券的价格为price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058price=(1+0.0475)4100=83.058两年期的公司债收益率为2年期的Swrate, swrate = 2.70% +0.30% = 3%,4年期的零息债券持有2年后的卖出价格为price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260price=(1+0.0300)2100=94.260则这笔投资的年化总收益为94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%83.05894.260−1=0.0653=6.53% 相关公式可以写一下吗?
NO.PZ2018123101000027 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.Smith buys a four-year, zero-coupon corporate bonanthen sell it after two years. Smith illustrates the returns from this strategy using the swrate a proxy for corporate yiel. Smith shoulshow a totreturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct.考点考察Ring the yielcurve策略解析由题干已知,Swrate来代替公司债的收益率;四年期的Swsprea差为0.70%,4年期的国债收益率Government spot rate 为4.05%,则4年期的swrate = 4.05% + 0.70% = 4.75%。因此,购买的4年期零息债券的价格为price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058price=(1+0.0475)4100=83.058两年期的公司债收益率为2年期的Swrate, swrate = 2.70% +0.30% = 3%,4年期的零息债券持有2年后的卖出价格为price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260price=(1+0.0300)2100=94.260则这笔投资的年化总收益为94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%83.05894.260−1=0.0653=6.53% 为什么2年后的卖出价格,不是用加上sprea的f(2,2)来折现100求得?
NO.PZ2018123101000027 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.Smith buys a four-year, zero-coupon corporate bonanthen sell it after two years. Smith illustrates the returns from this strategy using the swrate a proxy for corporate yiel. Smith shoulshow a totreturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct.考点考察Ring the yielcurve策略解析由题干已知,Swrate来代替公司债的收益率;四年期的Swsprea差为0.70%,4年期的国债收益率Government spot rate 为4.05%,则4年期的swrate = 4.05% + 0.70% = 4.75%。因此,购买的4年期零息债券的价格为price=100(1+0.0475)4=83.058price=\frac{100}{{(1+0.0475)}^4}=83.058price=(1+0.0475)4100=83.058两年期的公司债收益率为2年期的Swrate, swrate = 2.70% +0.30% = 3%,4年期的零息债券持有2年后的卖出价格为price=100(1+0.0300)2=94.260price=\frac{100}{{(1+0.0300)}^2}=94.260price=(1+0.0300)2100=94.260则这笔投资的年化总收益为94.26083.058−1=0.0653=6.53%\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%83.05894.260−1=0.0653=6.53% 本题两个问题1.题目中没有说明spot rate曲线不变,是否应该增加此条件后题目才算严谨?2.求totreturn也要进行年化吗?什么情况下不需要年化呀?