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Eric08 · 2019年04月15日

问一道题:NO.PZ2018062006000064 [ 2019.06 CFA I ]

计算出错了吧?应该怎么也不会是0.09吧?

问题如下图:

选项:

A.

B.

C.

解释:

2 个答案

一蒙就对 · 2019年07月13日

老师 没告诉face value 那个pmt=5是怎么求得

吴昊_品职助教 · 2019年07月15日

看选项中所有的数值都是100左右的,那么我们就默认face value是100

吴昊_品职助教 · 2019年04月15日

答案没有问题,就是100.09

计算如下:PV=5/(1+0.04)+5/(1+0.045)^2+105/(1+0.05)^3=100.09

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NO.PZ2018062006000064 问题如下 Alex wants to buy a 3-yebonwith the coupon rate of 5%. The coupon is paiannually. Spot rates are follows: 1-yespot rate=4%; 2-yespot rate=4.5%; 3-yespot rate=5%.The priof the bonis: A.110.00 B.100.09 C.90.16 B is correct.PV=PMT(1+0.04)+PMT(1+0.045)2+PMT+PAR(1+0.05)3=5(1+0.04)+5(1+0.045)2+5+100(1+0.05)3=100.09PV = {PMT\over (1+0.04)}+{PMT\over (1+0.045)^2}+{PMT+PAR\over (1+0.05)^3} = {5\over (1+0.04)}+{5\over (1+0.045)^2} +{5+100\over (1+0.05)^3}=100.09PV=(1+0.04)PMT​+(1+0.045)2PMT​+(1+0.05)3PMT+PAR​=(1+0.04)5​+(1+0.045)25​+(1+0.05)35+100​=100.09PV = 100.09考点Pricing Bon with Spot Rates解析通过未来现金流折现求和,第一年的现金流(5)用S1 折现,第二年的现金流(5)用S2 折现,第三年的现金流(100+5)用S3 折现,可得债券价格为100.09,故B正确。 像这样spot rate是等差数列的,能不能有什么快速选择方法?比如假设折现率都是spot rate的均值4.5%,3期,和这样算出来的价格作比较?

2023-06-10 10:56 1 · 回答

NO.PZ2018062006000064 问题如下 Alex wants to buy a 3-yebonwith the coupon rate of 5%. The coupon is paiannually. Spot rates are follows: 1-yespot rate=4%; 2-yespot rate=4.5%; 3-yespot rate=5%.The priof the bonis: A.110.00 B.100.09 C.90.16 B is correct.PV=PMT(1+0.04)+PMT(1+0.045)2+PMT+PAR(1+0.05)3=5(1+0.04)+5(1+0.045)2+5+100(1+0.05)3=100.09PV = {PMT\over (1+0.04)}+{PMT\over (1+0.045)^2}+{PMT+PAR\over (1+0.05)^3} = {5\over (1+0.04)}+{5\over (1+0.045)^2} +{5+100\over (1+0.05)^3}=100.09PV=(1+0.04)PMT​+(1+0.045)2PMT​+(1+0.05)3PMT+PAR​=(1+0.04)5​+(1+0.045)25​+(1+0.05)35+100​=100.09PV = 100.09考点Pricing Bon with Spot Rates解析通过未来现金流折现求和,第一年的现金流(5)用S1 折现,第二年的现金流(5)用S2 折现,第三年的现金流(100+5)用S3 折现,可得债券价格为100.09,故B正确。 如果不通过计算,coupon rate是5%,scount rate是低于等于5的,为什么price还大于100呢

2022-04-27 10:36 1 · 回答

NO.PZ2018062006000064问题如下Alex wants to buy a 3-yebonwith the coupon rate of 5%. The coupon is paiannually. Spot rates are follows: 1-yespot rate=4%; 2-yespot rate=4.5%; 3-yespot rate=5%.The priof the bonis: A.110.00 B.100.09 C.90.16 B is correct.PV=PMT(1+0.04)+PMT(1+0.045)2+PMT+PAR(1+0.05)3=5(1+0.04)+5(1+0.045)2+5+100(1+0.05)3=100.09PV = {PMT\over (1+0.04)}+{PMT\over (1+0.045)^2}+{PMT+PAR\over (1+0.05)^3} = {5\over (1+0.04)}+{5\over (1+0.045)^2} +{5+100\over (1+0.05)^3}=100.09PV=(1+0.04)PMT​+(1+0.045)2PMT​+(1+0.05)3PMT+PAR​=(1+0.04)5​+(1+0.045)25​+(1+0.05)35+100​=100.09PV = 100.09考点Pricing Bon with Spot Rates解析通过未来现金流折现求和,第一年的现金流(5)用S1 折现,第二年的现金流(5)用S2 折现,第三年的现金流(100+5)用S3 折现,可得债券价格为100.09,故B正确。 这题是三年期债券,为什么不能直接把3 yespot rate 当作I/Y,然后因为I/Y与coupon rate一样,所以债券价格等于面值。我这样的想法是哪里错了?谢谢老师。

2022-03-18 13:46 1 · 回答

请问favalue未知 怎么求得是100

2019-07-13 18:29 1 · 回答