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Brownie · 2019年04月20日

问一道题：NO.PZ2019011002000008 [ CFA II ]

  1. CFA II
  2. Fixed Income

这题没有给par value , 就默认是1000? 

问题如下图：

选项：

A.

B.

C.

解释：

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1 个答案

吴昊_品职助教 · 2019年04月20日

因为这个债券的fair value是1098.14，所以就认为面值是1000。真正考试中，已知条件一定会明确给出，不会在这个地方让我们产生疑惑。不用担心。

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NO.PZ2019011002000008 问题如下 BonB is a 5-yecorporate bonwith a fixecoupon rate of 7%. The coupon is paiannually. The bonis rateAA.Assume the fair value of the bonis 1098.14. The bons value assuming no fault (VN is 1187.22.Li, a cret analyst in a wealth management firm, wants to know the cret spreof BonB over a theoreticcomparable-maturity government bonwith the same coupon rate this bonAccorng to the information above, the cret spreis closest to: A.1.78% B.1.83% C.2.55% B is correct.考点计算Cret sprea析已知该公司债的Fair value是1098.14，并且该债券是5年期，Coupon rate为7%，根据债券定价，可以反求出其YTM:l70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1098.14{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1098.14l(1+YTM)70​+(1+YTM)270​+(1+YTM)370​+(1+YTM)470​+(1+YTM)51070​=1098.14反求出来的YTM为4.75%。而有题干信息The bons value assuming no fault (VN is 1187.22，可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTMl70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1187.22{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1187.22l(1+YTM)70​+(1+YTM)270​+(1+YTM)370​+(1+YTM)470​+(1+YTM)51070​=1187.22经过计算YTM为2.92%则Cret sprea4.75% - 2.92% = 1.83% N=5，PV=-1098.14，PMT=70，FV=1000 得到I/Y=4.6666N=5，PV=-1187.22，PMT=70，FV=1000 得到I/Y=2.8897算出来是4.6666-2.8897=1.78% 不是1.83%

2024-04-30 21:14 1 · 回答

NO.PZ2019011002000008 问题如下 BonB is a 5-yecorporate bonwith a fixecoupon rate of 7%. The coupon is paiannually. The bonis rateAA.Assume the fair value of the bonis 1098.14. The bons value assuming no fault (VN is 1187.22.Li, a cret analyst in a wealth management firm, wants to know the cret spreof BonB over a theoreticcomparable-maturity government bonwith the same coupon rate this bonAccorng to the information above, the cret spreis closest to: A.1.78% B.1.83% C.2.55% B is correct.考点计算Cret sprea析已知该公司债的Fair value是1098.14，并且该债券是5年期，Coupon rate为7%，根据债券定价，可以反求出其YTM:l70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1098.14{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1098.14l(1+YTM)70​+(1+YTM)270​+(1+YTM)370​+(1+YTM)470​+(1+YTM)51070​=1098.14反求出来的YTM为4.75%。而有题干信息The bons value assuming no fault (VN is 1187.22，可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTMl70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1187.22{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1187.22l(1+YTM)70​+(1+YTM)270​+(1+YTM)370​+(1+YTM)470​+(1+YTM)51070​=1187.22经过计算YTM为2.92%则Cret sprea4.75% - 2.92% = 1.83% 老师，这里在求CS时，1）为什么PV是负号啊？ PV和FV有一个是负号不可以么？2）为什么最后FV=1000 ？？3）这类题目，站在一个什么角度上，是投资者还是为发行人？

2023-08-14 18:58 1 · 回答

NO.PZ2019011002000008 问题如下 BonB is a 5-yecorporate bonwith a fixecoupon rate of 7%. The coupon is paiannually. The bonis rateAA.Assume the fair value of the bonis 1098.14. The bons value assuming no fault (VN is 1187.22.Li, a cret analyst in a wealth management firm, wants to know the cret spreof BonB over a theoreticcomparable-maturity government bonwith the same coupon rate this bonAccorng to the information above, the cret spreis closest to: A.1.78% B.1.83% C.2.55% B is correct.考点计算Cret sprea析已知该公司债的Fair value是1098.14，并且该债券是5年期，Coupon rate为7%，根据债券定价，可以反求出其YTM:l70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1098.14{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1098.14l(1+YTM)70​+(1+YTM)270​+(1+YTM)370​+(1+YTM)470​+(1+YTM)51070​=1098.14反求出来的YTM为4.75%。而有题干信息The bons value assuming no fault (VN is 1187.22，可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTMl70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1187.22{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1187.22l(1+YTM)70​+(1+YTM)270​+(1+YTM)370​+(1+YTM)470​+(1+YTM)51070​=1187.22经过计算YTM为2.92%则Cret sprea4.75% - 2.92% = 1.83% “可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTM” 答案中的这句话不太理解，为什么无风险利率折现出来的价值就是国债的价格？

2022-09-12 23:04 1 · 回答

NO.PZ2019011002000008 问题如下 BonB is a 5-yecorporate bonwith a fixecoupon rate of 7%. The coupon is paiannually. The bonis rateAA.Assume the fair value of the bonis 1098.14. The bons value assuming no fault (VN is 1187.22.Li, a cret analyst in a wealth management firm, wants to know the cret spreof BonB over a theoreticcomparable-maturity government bonwith the same coupon rate this bonAccorng to the information above, the cret spreis closest to: A.1.78% B.1.83% C.2.55% B is correct.考点计算Cret sprea析已知该公司债的Fair value是1098.14，并且该债券是5年期，Coupon rate为7%，根据债券定价，可以反求出其YTM:l70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1098.14{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1098.14l(1+YTM)70​+(1+YTM)270​+(1+YTM)370​+(1+YTM)470​+(1+YTM)51070​=1098.14反求出来的YTM为4.75%。而有题干信息The bons value assuming no fault (VN is 1187.22，可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTMl70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1187.22{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1187.22l(1+YTM)70​+(1+YTM)270​+(1+YTM)370​+(1+YTM)470​+(1+YTM)51070​=1187.22经过计算YTM为2.92%则Cret sprea4.75% - 2.92% = 1.83% 老师想问一下，这道题中计算两个I/Y 时，分别输入的PV（负号）和FV PV（正号），符号方向是怎么判断出来的啊，一般输入计算器中的PV与PMT不是正负号相一致吗

2022-07-14 10:40 1 · 回答

NO.PZ2019011002000008 问题如下 BonB is a 5-yecorporate bonwith a fixecoupon rate of 7%. The coupon is paiannually. The bonis rateAA.Assume the fair value of the bonis 1098.14. The bons value assuming no fault (VN is 1187.22.Li, a cret analyst in a wealth management firm, wants to know the cret spreof BonB over a theoreticcomparable-maturity government bonwith the same coupon rate this bonAccorng to the information above, the cret spreis closest to: A.1.78% B.1.83% C.2.55% B is correct.考点计算Cret sprea析已知该公司债的Fair value是1098.14，并且该债券是5年期，Coupon rate为7%，根据债券定价，可以反求出其YTM:l70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1098.14{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1098.14l(1+YTM)70​+(1+YTM)270​+(1+YTM)370​+(1+YTM)470​+(1+YTM)51070​=1098.14反求出来的YTM为4.75%。而有题干信息The bons value assuming no fault (VN is 1187.22，可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTMl70(1+YTM)+70(1+YTM)2+70(1+YTM)3+70(1+YTM)4+1070(1+YTM)5=1187.22{l}\frac{70}{(1+YTM)}+\frac{70}{(1+YTM)^2}+\frac{70}{(1+YTM)^3}+\frac{70}{(1+YTM)^4}+\frac{1070}{(1+YTM)^5}\\=1187.22l(1+YTM)70​+(1+YTM)270​+(1+YTM)370​+(1+YTM)470​+(1+YTM)51070​=1187.22经过计算YTM为2.92%则Cret sprea4.75% - 2.92% = 1.83% 已知该公司债的Fair value是1098.14，并且该债券是5年期，Coupon rate为7%，根据债券定价，可以反求出其YTM70/(1+YTM)+70/(1+YTM)2+70/(1+YTM)3+70/(1+YTM)4+(1000+70)/(1+YTM)5=1098.14N=5 PMT=70 FV=-1000 PV=1098.14 求出I/Y=-8.4922而有题干信息The bons value assuming no fault (VN is 1187.22，可知利用无风险利率对该债券折现出来的价值为1187.22，该价值就等于假设的期限相同Coupon rate相同国债的价格，通过该价格反求出来的YTM就是对应假设国债的YTM70/(1+YTM)+70/(1+YTM)2+70/(1+YTM)3+70/(1+YTM)4+(1000+70)/(1+YTM)5=1187.22N=5 PMT=70 FV=-1000 PV=1187.22 求出I/Y=-9.7260经过计算YTM为2.92%Cret spre= 公司债的YTM- 国债的YTM= -8.4922%-(-9.7260) = 1.2338%

2022-05-17 21:39 1 · 回答