问题如下图：
选项：
A. 
B. 
C. 
解释：
这题做了20分钟以上，考试遇到这种题只能放弃了。。
NO.PZ201812310200000111 问题如下 The wealth management firm hexisting position in bonB4. The market priof B4, a floating-rate note, is €1,070. Senior management haskeIbarra to make a recommention regarng the existing position. Baseon the assumptions useto calculate the estimated fair value only, her recommention shoulto: a to the existing position. holthe existing position. rethe existing position. A is correct. The following tree shows the valuation assuming no fault of floating-rate note (FRN) B4, whiha quotemargin of 4%. The scheled year-encoupon anprincippayments are placeto the right of eaforwarrate in the tree. For example, the four te 4 values are the principplus the coupon. €1,000 × (1 + 0.080804 + 0.04) = €1,120.80 €1,000 × (1 + 0.054164 + 0.04) = €1,094.16 €1,000 × (1 + 0.036307 + 0.04) = €1,076.31 €1,000 × (1 + 0.024338 + 0.04) = €1,064.34 The following are the four te 3 bonvalues for the note, shown above the interest rate at eano: €1,120.80/1.080804 = €1,037.01 €1,094.16/1.054164 = €1,037.94 €1,076.31/1.036307 = €1,038.60 €1,064.34/1.024338 = €1,039.05 The three te 3 coupon amounts are computebaseon the interest rate te 2 plus the quotemargin of 4%: €1,000 × (0.043999 + 0.04) = €84.00 €1,000 × (0.029493 + 0.04) = €69.49 €1,000 × (0.019770 + 0.04) = €59.77 There are three te 2 bonvalues: (0.5�1037.01+0.5�1037.94)+84.00 1.043999 =1074.21 (0.5�1037.94+0.5�1038.60)+69.49 1.029493 =1076.03 (0.5�1038.60+0.5�1039.05)+59.77 1.019770 =1077.30 The two te 2 coupon amounts are computebaseon the interest rate te 1 plus the quotemargin of 4%: €1,000 × (0.021180 + 0.04) = €61.18 €1,000 × (0.014197 + 0.04) = €54.20 The te 1 coupon amount is computebaseon the interest rate te 0 plus the quotemargin of 4%: €1,000 × (–0.0025 + 0.04) = €37.50 These are the calculations for the bonvalues for te 1 ante 0: (0.5�1074.21+0.5�1076.03)+61.18 1.021180 =1112.73 (0.5�1076.06+0.5�1077.30)+54.20 1.014197 =1115.0 Then, the VND is calculatefollows: (0.5�1112.73+0.5�1115.03)+37.50 0.9975 =1154.27 The expected exposures are then computeusing the binomiinterest rate tree prepared earlier. For example, the expecteexposure for te 4 is computefollows: [(0.125 × €1,120.80) + (0.375 × €1,094.16) + (0.375 × €1,076.31) + (0.125 × €1,064.34)] = €1,087.07 Similarly, the expecteexposure for te 3 is computefollows: [(0.125 × €1,037.01) + (0.375 × €1,037.94) + (0.375 × €1,038.60) + (0.125 × €1,039.05)] + [(0.250 × €84) + (0.500 × €69.49) + (0.250 × €59.77)] = €1,108.90 The expected exposures for tes 2 an1 are computesimilarly, anthe cret valuation austment table is completefollowing Steps 2–7 outlinein the solution to Question 8. Fair value of the FRN consiring CVA = €1,154.27 – CVA = €1,154.27 – €44.43 = €1,109.84. Because the market priof €1,070 is less ththe estimatefair value, the analyst shoulrecommenaing to existing positions in the FRN. B anC are incorrebecause the FRN is perceiveto unrvaluein the market. RT
NO.PZ201812310200000111 问题如下 The wealth management firm hexisting position in bonB4. The market priof B4, a floating-rate note, is €1,070. Senior management haskeIbarra to make a recommention regarng the existing position. Baseon the assumptions useto calculate the estimated fair value only, her recommention shoulto: a to the existing position. holthe existing position. rethe existing position. A is correct. The following tree shows the valuation assuming no fault of floating-rate note (FRN) B4, whiha quotemargin of 4%. The scheled year-encoupon anprincippayments are placeto the right of eaforwarrate in the tree. For example, the four te 4 values are the principplus the coupon. €1,000 × (1 + 0.080804 + 0.04) = €1,120.80 €1,000 × (1 + 0.054164 + 0.04) = €1,094.16 €1,000 × (1 + 0.036307 + 0.04) = €1,076.31 €1,000 × (1 + 0.024338 + 0.04) = €1,064.34 The following are the four te 3 bonvalues for the note, shown above the interest rate at eano: €1,120.80/1.080804 = €1,037.01 €1,094.16/1.054164 = €1,037.94 €1,076.31/1.036307 = €1,038.60 €1,064.34/1.024338 = €1,039.05 The three te 3 coupon amounts are computebaseon the interest rate te 2 plus the quotemargin of 4%: €1,000 × (0.043999 + 0.04) = €84.00 €1,000 × (0.029493 + 0.04) = €69.49 €1,000 × (0.019770 + 0.04) = €59.77 There are three te 2 bonvalues: (0.5�1037.01+0.5�1037.94)+84.00 1.043999 =1074.21 (0.5�1037.94+0.5�1038.60)+69.49 1.029493 =1076.03 (0.5�1038.60+0.5�1039.05)+59.77 1.019770 =1077.30 The two te 2 coupon amounts are computebaseon the interest rate te 1 plus the quotemargin of 4%: €1,000 × (0.021180 + 0.04) = €61.18 €1,000 × (0.014197 + 0.04) = €54.20 The te 1 coupon amount is computebaseon the interest rate te 0 plus the quotemargin of 4%: €1,000 × (–0.0025 + 0.04) = €37.50 These are the calculations for the bonvalues for te 1 ante 0: (0.5�1074.21+0.5�1076.03)+61.18 1.021180 =1112.73 (0.5�1076.06+0.5�1077.30)+54.20 1.014197 =1115.0 Then, the VND is calculatefollows: (0.5�1112.73+0.5�1115.03)+37.50 0.9975 =1154.27 The expected exposures are then computeusing the binomiinterest rate tree prepared earlier. For example, the expecteexposure for te 4 is computefollows: [(0.125 × €1,120.80) + (0.375 × €1,094.16) + (0.375 × €1,076.31) + (0.125 × €1,064.34)] = €1,087.07 Similarly, the expecteexposure for te 3 is computefollows: [(0.125 × €1,037.01) + (0.375 × €1,037.94) + (0.375 × €1,038.60) + (0.125 × €1,039.05)] + [(0.250 × €84) + (0.500 × €69.49) + (0.250 × €59.77)] = €1,108.90 The expected exposures for tes 2 an1 are computesimilarly, anthe cret valuation austment table is completefollowing Steps 2–7 outlinein the solution to Question 8. Fair value of the FRN consiring CVA = €1,154.27 – CVA = €1,154.27 – €44.43 = €1,109.84. Because the market priof €1,070 is less ththe estimatefair value, the analyst shoulrecommenaing to existing positions in the FRN. B anC are incorrebecause the FRN is perceiveto unrvaluein the market. 我没有用二叉树，用的是exhibit 2中forwarrate。coupon就是forwarrate+4%,从te 4一期一期向前折现求exposure。也能得到Fair value为1109.839但是计算大大简化了。如果考试有forwarrate，可以用吗？
NO.PZ201812310200000111 问题如下 The wealth management firm hexisting position in bonB4. The market priof B4, a floating-rate note, is €1,070. Senior management haskeIbarra to make a recommention regarng the existing position. Baseon the assumptions useto calculate the estimated fair value only, her recommention shoulto: a to the existing position. holthe existing position. rethe existing position. A is correct. The following tree shows the valuation assuming no fault of floating-rate note (FRN) B4, whiha quotemargin of 4%. The scheled year-encoupon anprincippayments are placeto the right of eaforwarrate in the tree. For example, the four te 4 values are the principplus the coupon. €1,000 × (1 + 0.080804 + 0.04) = €1,120.80 €1,000 × (1 + 0.054164 + 0.04) = €1,094.16 €1,000 × (1 + 0.036307 + 0.04) = €1,076.31 €1,000 × (1 + 0.024338 + 0.04) = €1,064.34 The following are the four te 3 bonvalues for the note, shown above the interest rate at eano: €1,120.80/1.080804 = €1,037.01 €1,094.16/1.054164 = €1,037.94 €1,076.31/1.036307 = €1,038.60 €1,064.34/1.024338 = €1,039.05 The three te 3 coupon amounts are computebaseon the interest rate te 2 plus the quotemargin of 4%: €1,000 × (0.043999 + 0.04) = €84.00 €1,000 × (0.029493 + 0.04) = €69.49 €1,000 × (0.019770 + 0.04) = €59.77 There are three te 2 bonvalues: (0.5�1037.01+0.5�1037.94)+84.00 1.043999 =1074.21 (0.5�1037.94+0.5�1038.60)+69.49 1.029493 =1076.03 (0.5�1038.60+0.5�1039.05)+59.77 1.019770 =1077.30 The two te 2 coupon amounts are computebaseon the interest rate te 1 plus the quotemargin of 4%: €1,000 × (0.021180 + 0.04) = €61.18 €1,000 × (0.014197 + 0.04) = €54.20 The te 1 coupon amount is computebaseon the interest rate te 0 plus the quotemargin of 4%: €1,000 × (–0.0025 + 0.04) = €37.50 These are the calculations for the bonvalues for te 1 ante 0: (0.5�1074.21+0.5�1076.03)+61.18 1.021180 =1112.73 (0.5�1076.06+0.5�1077.30)+54.20 1.014197 =1115.0 Then, the VND is calculatefollows: (0.5�1112.73+0.5�1115.03)+37.50 0.9975 =1154.27 The expected exposures are then computeusing the binomiinterest rate tree prepared earlier. For example, the expecteexposure for te 4 is computefollows: [(0.125 × €1,120.80) + (0.375 × €1,094.16) + (0.375 × €1,076.31) + (0.125 × €1,064.34)] = €1,087.07 Similarly, the expecteexposure for te 3 is computefollows: [(0.125 × €1,037.01) + (0.375 × €1,037.94) + (0.375 × €1,038.60) + (0.125 × €1,039.05)] + [(0.250 × €84) + (0.500 × €69.49) + (0.250 × €59.77)] = €1,108.90 The expected exposures for tes 2 an1 are computesimilarly, anthe cret valuation austment table is completefollowing Steps 2–7 outlinein the solution to Question 8. Fair value of the FRN consiring CVA = €1,154.27 – CVA = €1,154.27 – €44.43 = €1,109.84. Because the market priof €1,070 is less ththe estimatefair value, the analyst shoulrecommenaing to existing positions in the FRN. B anC are incorrebecause the FRN is perceiveto unrvaluein the market. 如题
NO.PZ201812310200000111
holthe existing position. rethe existing position. A is correct. The following tree shows the valuation assuming no fault of floating-rate note (FRN) B4, whiha quotemargin of 4%. The scheleyear-encoupon anprincippayments are placeto the right of eaforwarrate in the tree. For example, the four te 4 values are the principplus the coupon. €1,000 × (1 + 0.080804 + 0.04) = €1,120.80 €1,000 × (1 + 0.054164 + 0.04) = €1,094.16 €1,000 × (1 + 0.036307 + 0.04) = €1,076.31 €1,000 × (1 + 0.024338 + 0.04) = €1,064.34 The following are the four te 3 bonvalues for the note, shown above the interest rate eano: €1,120.80/1.080804 = €1,037.01 €1,094.16/1.054164 = €1,037.94 €1,076.31/1.036307 = €1,038.60 €1,064.34/1.024338 = €1,039.05 The three te 3 coupon amounts are computebaseon the interest rate te 2 plus the quotemargin of 4%: €1,000 × (0.043999 + 0.04) = €84.00 €1,000 × (0.029493 + 0.04) = €69.49 €1,000 × (0.019770 + 0.04) = €59.77 There are three te 2 bonvalues: (0.5×1037.01+0.5×1037.94)+84.00 1.043999 =1074.21 (0.5×1037.94+0.5×1038.60)+69.49 1.029493 =1076.03 (0.5×1038.60+0.5×1039.05)+59.77 1.019770 =1077.30 The two te 2 coupon amounts are computebaseon the interest rate te 1 plus the quotemargin of 4%: €1,000 × (0.021180 + 0.04) = €61.18 €1,000 × (0.014197 + 0.04) = €54.20 The te 1 coupon amount is computebaseon the interest rate te 0 plus the quotemargin of 4%: €1,000 × (–0.0025 + 0.04) = €37.50 These are the calculations for the bonvalues for te 1 ante 0: (0.5×1074.21+0.5×1076.03)+61.18 1.021180 =1112.73 (0.5×1076.06+0.5×1077.30)+54.20 1.014197 =1115.0 Then, the VNis calculatefollows: (0.5×1112.73+0.5×1115.03)+37.50 0.9975 =1154.27 The expecteexposures are then computeusing the binomiinterest rate tree prepareearlier. For example, the expecteexposure for te 4 is computefollows: [(0.125 × €1,120.80) + (0.375 × €1,094.16) + (0.375 × €1,076.31) + (0.125 × €1,064.34)] = €1,087.07 Similarly, the expecteexposure for te 3 is computefollows: [(0.125 × €1,037.01) + (0.375 × €1,037.94) + (0.375 × €1,038.60) + (0.125 × €1,039.05)] + [(0.250 × €84) + (0.500 × €69.49) + (0.250 × €59.77)] = €1,108.90 The expecteexposures for tes 2 an1 are computesimilarly, anthe cret valuation austment table is completefollowing Steps 2–7 outlinein the solution to Question 8. Fair value of the FRN consiring CVA = €1,154.27 – CVA = €1,154.27 – €44.43 = €1,109.84. Because the market priof €1,070 is less ththe estimatefair value, the analyst shoulrecommenaing to existing positions in the FRN. B anC are incorrebecause the FRN is perceiveto unrvaluein the market. 老师，此题用interest rate volatility来折现是基于题目要求8题以后在niela的假设下是吗？ 那如果没有如此假设是不是也可以运用interstate rate flat来折现也就是3%？
