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恬恬爱吃香菜 · 2019年04月23日

问一道题:NO.PZ2016022702000007

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



1 个答案

吴昊_品职助教 · 2019年04月24日

我们看问题:The price today of a five-year zero-coupon bond,让我们求的是五年期零息债券的价格。不是五年期的spot rate。

我们可以将即期利率转化成即期价格P(3)=1/(1.06)^3=0.8396。我们可以通过forward pricing model得到五年期零息债券的价格。P(T*+T)=P(T*)F(T*,T),所以P(5)=P(3)F(3,2)=0.8396*0.8479=0.7119。

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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

2024-07-19 16:33 1 · 回答

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。 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。

2023-10-20 14:20 1 · 回答

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。 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

2023-04-19 17:23 2 · 回答

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?

2021-08-15 17:57 1 · 回答

NO.PZ2016022702000007 为什么 我先算出S5,用1/(1+S5)^5,算出来不是同一个呢?

2021-04-19 15:15 2 · 回答