问题如下图:
这种题计算过程中一般留几位小数点?
选项:
A.
B.
C.
解释:
NO.PZ2018123101000018 问题如下 Jane is a bontrar for investment bank. Exhibit 1 presents the current panspot rates. Note: Panspot rates are baseon annual-coupon sovereign bon. Baseon Exhibit 1, the five-yespot rate is closest to: 4.40% 4.45% 4.50% B is correct.考点The SwRate Curve和Spot rate的关系解析已知1-year, 2-year, 3-year, 4-year的Spot rate,也知道5-year的Swrate,根据由Swrate求Spot rate的方法,有公式1=0.0437/(1.025)+0.0437/(1.03)^2+0.0437/(1.035)^3+0.0437/(1.04)^4+1.0437/(1+S5)^5S5=4.45% 答案中的公式1(pvalue)=coupon(0.045)除每年的折现率加总,那意思就是国债是不归还本金的,国债的par就只是每年的coupon折现求和是吗?
NO.PZ2018123101000018 问题如下 Jane is a bontrar for investment bank. Exhibit 1 presents the current panspot rates. Note: Panspot rates are baseon annual-coupon sovereign bon. Baseon Exhibit 1, the five-yespot rate is closest to: 4.40% 4.45% 4.50% B is correct.考点The SwRate Curve和Spot rate的关系解析已知1-year, 2-year, 3-year, 4-year的Spot rate,也知道5-year的Swrate,根据由Swrate求Spot rate的方法,有公式1=0.0437/(1.025)+0.0437/(1.03)^2+0.0437/(1.035)^3+0.0437/(1.04)^4+1.0437/(1+S5)^5S5=4.45% 分子,现金流,利息,为什么都等于0.0437?相当于所有现金流,都用了第5年的prate?为啥分子现金流,不是根据每年PR
NO.PZ2018123101000018问题如下 Jane is a bontrar for investment bank. Exhibit 1 presents the current panspot rates. Note: Panspot rates are baseon annual-coupon sovereign bon. Baseon Exhibit 1, the five-yespot rate is closest to: 4.40% 4.45% 4.50% B is correct.考点The SwRate Curve和Spot rate的关系解析已知1-year, 2-year, 3-year, 4-year的Spot rate,也知道5-year的Swrate,根据由Swrate求Spot rate的方法,有公式1=0.0437/(1.025)+0.0437/(1.03)^2+0.0437/(1.035)^3+0.0437/(1.04)^4+1.0437/(1+S5)^5S5=4.45% 题目解答为什么强调是swrate与spot rate的关系,难道不是prate与spot rate的关系做boot strapping吗?
NO.PZ2018123101000018 式子的左边等于1是什么原理?如果考试考的话会怎么考(这个等于1的理论)?
NO.PZ2018123101000018 考试时是保留2位还是4位?