问题如下图:
选项:
A.
B.
C.
解释:
老师你好,这道题我最开始看成了求S5,怎么看出是让求P5的呢,没太明白,谢谢解答
NO.PZ2016022702000007 问题如下 A one-yezero-coupon bonyiel 4.0%. The two- anthree-yezero-coupon bon yiel5.0% an6.0% respectively.The five-yespot rate is not given above; however, the forwarprifor a two-yezero-coupon bonbeginning in three years is known to 0.8479. The pritoy of a five-yezero-coupon bonis closest to: A.0.7119. B.0.7835. C.0.9524. A is correct. 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31=0.8396The forwarpricing mol cuseto finthe priof the five-yezero P(T*+T)=P(T*)F(T*,T), SO P(5)=P(3)F(3,2)= 0.8396 x 0.8479 = 0.7119.考点forwarpricing mol首先将即期利率转化成即期价格P(3)= 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31=0.8396。通过forwarpricing mol得到五年期零息债券的价格,即P(T*+T)=P(T*)F(T*,T),所以P(5)=P(3)×F(3,2)=0.8396×0.8479=0.7119。 如题
NO.PZ2016022702000007问题如下 A one-yezero-coupon bonyiel 4.0%. The two- anthree-yezero-coupon bon yiel5.0% an6.0% respectively.The five-yespot rate is not given above; however, the forwarprifor a two-yezero-coupon bonbeginning in three years is known to 0.8479. The pritoy of a five-yezero-coupon bonis closest to: A.0.7119.B.0.7835.C.0.9524. A is correct. 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31=0.8396The forwarpricing mol cuseto finthe priof the five-yezero P(T*+T)=P(T*)F(T*,T), SO P(5)=P(3)F(3,2)= 0.8396 x 0.8479 = 0.7119.考点forwarpricing mol首先将即期利率转化成即期价格P(3)= 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31=0.8396。通过forwarpricing mol得到五年期零息债券的价格,即P(T*+T)=P(T*)F(T*,T),所以P(5)=P(3)×F(3,2)=0.8396×0.8479=0.7119。 P3的正确理解方法应该是,n=3,I/Y=6,FV=1,PMT=0,求PV,我看了那些就没有说到点上的,不会的人还是理解不了说的是个啥,看我说的这个我相信没人会不懂。
NO.PZ2016022702000007 问题如下 A one-yezero-coupon bonyiel 4.0%. The two- anthree-yezero-coupon bon yiel5.0% an6.0% respectively.The five-yespot rate is not given above; however, the forwarprifor a two-yezero-coupon bonbeginning in three years is known to 0.8479. The pritoy of a five-yezero-coupon bonis closest to: A.0.7119. B.0.7835. C.0.9524. A is correct. 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31=0.8396The forwarpricing mol cuseto finthe priof the five-yezero P(T*+T)=P(T*)F(T*,T), SO P(5)=P(3)F(3,2)= 0.8396 x 0.8479 = 0.7119.考点forwarpricing mol首先将即期利率转化成即期价格P(3)= 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31=0.8396。通过forwarpricing mol得到五年期零息债券的价格,即P(T*+T)=P(T*)F(T*,T),所以P(5)=P(3)×F(3,2)=0.8396×0.8479=0.7119。 老师您好,我是这么算的第一步0.8479=1/f(3,2),得到f(3,2)=0.086第二步P0=1/(1.04*1.05*1.06*1.086*1.086),得到P=0.7325
NO.PZ2016022702000007 P(3)=1/[(1+S3)^3]=1/(1.06)^3=0.8396 为什么要这么算? 具体在哪个视频里有讲解?
NO.PZ2016022702000007 为什么 我先算出S5,用1/(1+S5)^5,算出来不是同一个呢?