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:
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?
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
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。
请问favalue未知 怎么求得是100