开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

jennie · 2019年04月17日

问一道题：NO.PZ201712110200000304 第4小题

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

问题如下图：

    

选项：

A.

B.

C.

解释：


The value of straight bond is discounted via Spot Rate. 但是可以用forward rate 倒推吗？forward rate 是从 Spot Rate de得出的。为什么不可以用forward rate 一年一年倒推呢？

我看了以前的解释，但我的问题不一样。请指教。谢谢

V2=101.55/1+f(2,1)=101.55/1.014028;

V1=(V2+1.55)/(1+f(1,1));

V0=(V1+1.55)/(1+f(0,1));  这里的f(0,1)=S1；

添加评论
2 个答案
已采纳答案

吴昊_品职助教 · 2019年04月17日

如果要用one-year forward rate来折现，得到的结果是一样的。

1.55/1.01+1.55/[(1.01)*(1.014028)]+101.55/[(1.01)*(1.014028)*(1.013522)]=100.8788

我看了你的列式，这里有问题，画红框的地方应该是1.013522而不是1.014028。你可以再计算一下，结果是一样的，都是100.8788

jennie · 2019年04月18日

谢谢您的解释。

吴昊_品职助教 · 2019年04月18日

不谢

  • 2

    回答

  • 0

    关注

  • 342

    浏览
相关问题

NO.PZ201712110200000304 问题如下 Baseon the information in Exhibit 1 anExhibit 2, the value of the embeeoption in Bon4 is closest to: A.nil. B.0.1906. C.0.8789. C is correct. Bon4 is a callable bon Value of issuer call option = Value of straight bon– Value of callable bon The value of the straight bonmcalculateusing the spot rates or the one-yeforwarrates.Value of option-free (straight) bonwith a 1.55% coupon using spot rates:1.55/(1.0100)1 + 1.55/(1.012012)2 + 101.55/(1.012515)3 = 100.8789.The value of a callable bon(par) with no call protection periocannot excee100, thprior higher the bonwoulcalle The value of the call option = 100.8789 – 100 = 0.8789. 这道题V-straight_bon一开始是用SPOT RATE，从第三期往前折算（二叉树方法，只是不用分叉计算），发现出来结果是101.1742和答案100.8788不一样。然后我用forwarrate算一次发现结果就是100.8788，由此联想到，请问二叉树中各期利率是不是forwarrate? 我一直理解为SPOT RATE

2024-05-11 09:19 1 · 回答

NO.PZ201712110200000304 问题如下 Baseon the information in Exhibit 1 anExhibit 2, the value of the embeeoption in Bon4 is closest to: A.nil. B.0.1906. C.0.8789. C is correct. Bon4 is a callable bon Value of issuer call option = Value of straight bon– Value of callable bon The value of the straight bonmcalculateusing the spot rates or the one-yeforwarrates.Value of option-free (straight) bonwith a 1.55% coupon using spot rates:1.55/(1.0100)1 + 1.55/(1.012012)2 + 101.55/(1.012515)3 = 100.8789.The value of a callable bon(par) with no call protection periocannot excee100, thprior higher the bonwoulcalle The value of the call option = 100.8789 – 100 = 0.8789. callable bon价格有上限，不能超过100，所以，callable bonvalue应该是100，这句话怎么理解呢

2024-04-09 21:31 1 · 回答

NO.PZ201712110200000304 问题如下 Baseon the information in Exhibit 1 anExhibit 2, the value of the embeeoption in Bon4 is closest to: A.nil. B.0.1906. C.0.8789. C is correct. Bon4 is a callable bon Value of issuer call option = Value of straight bon– Value of callable bon The value of the straight bonmcalculateusing the spot rates or the one-yeforwarrates.Value of option-free (straight) bonwith a 1.55% coupon using spot rates:1.55/(1.0100)1 + 1.55/(1.012012)2 + 101.55/(1.012515)3 = 100.8789.The value of a callable bon(par) with no call protection periocannot excee100, thprior higher the bonwoulcalle The value of the call option = 100.8789 – 100 = 0.8789. embeoption bon以不考虑路径，用forwarrate求价值吗。。。

2023-05-14 10:29 1 · 回答

NO.PZ201712110200000304 问题如下 Baseon the information in Exhibit 1 anExhibit 2, the value of the embeeoption in Bon4 is closest to: A.nil. B.0.1906. C.0.8789. C is correct. Bon4 is a callable bon Value of issuer call option = Value of straight bon– Value of callable bon The value of the straight bonmcalculateusing the spot rates or the one-yeforwarrates.Value of option-free (straight) bonwith a 1.55% coupon using spot rates:1.55/(1.0100)1 + 1.55/(1.012012)2 + 101.55/(1.012515)3 = 100.8789.The value of a callable bon(par) with no call protection periocannot excee100, thprior higher the bonwoulcalle The value of the call option = 100.8789 – 100 = 0.8789. 但是我的疑惑是每次折现用什么数据，答案这里是spot rate进行折现，我却用了额one-yeforwar行折现，就是每次不知道用哪个数字合理？

2023-02-17 10:24 1 · 回答

NO.PZ201712110200000304 问题如下 Baseon the information in Exhibit 1 anExhibit 2, the value of the embeeoption in Bon4 is closest to: A.nil. B.0.1906. C.0.8789. C is correct. Bon4 is a callable bon Value of issuer call option = Value of straight bon– Value of callable bon The value of the straight bonmcalculateusing the spot rates or the one-yeforwarrates.Value of option-free (straight) bonwith a 1.55% coupon using spot rates:1.55/(1.0100)1 + 1.55/(1.012012)2 + 101.55/(1.012515)3 = 100.8789.The value of a callable bon(par) with no call protection periocannot excee100, thprior higher the bonwoulcalle The value of the call option = 100.8789 – 100 = 0.8789. The value of a callable bon(par) with no call protection periocannot excee100, thprior higher the bonwoulcalle为什么不会是小于100呢？没有赎回时间限制的callable bon什么一定价值是100呢？

2022-09-18 11:01 1 · 回答