问题如下图：
选项：
A. 
B. 
C. 
解释：
老师，我错在最后一步：我用[(94.26-83.058)/83.058]^(1/2)。请问为什么这么算是错的？
吴昊_品职助教 · 2019年06月08日
我们需要做了一个复利算出年化的return，列式83.058*(1+R)^2=94.260，然后反求出R。
needabroom · 2020年03月18日
老师，还是不是很懂，为什么要折现到0时刻，然后用复利计算年化，谢谢！
needabroom · 2020年03月18日
“一个四年期的债券经过了两年之后变成了一个两年期债券，这个两年期债券和一开始的两年期债券价格是一样的。”这句话理解不了。请老师解释一下。谢谢！
吴昊_品职助教 · 2020年03月18日
这是在实施riding the yield curve策略，该策略有一个前提假设就是收益率曲线stable，所谓stable就是站在今天来看，两年期的spot rate，和到了两年以后市场上的spot rate是一样的。所以两年之后四年期债券变成了两年期债券，和现在一开始两年期债券价格一样。因为他们的折现率是一样的。建议回听一下基础班关于riding the yield curve这个知识点。
NO.PZ201701230200000203问题如下3. In presenting Investment 2, Smith shoulshow annureturn closest to:A.4.31%.B.5.42%.C.6.53%.C is correct. The swspreis a common wto incate cret sprea in a market. The four-yeswrate (fixeleg of interest rate swap) cuseincation of the four-yecorporate yiel Ring the yielcurve purchasing a four-yezero-coupon bonwith a yielof 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)4 = 83.058]} anthen selling it when it becomes a two-yezero-coupon bonwith a yielof 3.00% {i.e., 2.70% +0.30%, [P2 = 100/(1 + 0.0300)2 = 94.260]} proces annureturn of 6.53%: (94.260/83.058)0.5 - 1.0 = 0.0653.所以ring the yiel赚的是extra coupon reinvestment return 吧？
NO.PZ201701230200000203问题如下 3. In presenting Investment 2, Smith shoulshow annureturn closest to:A.4.31%.B.5.42%.C.6.53%.C is correct. The swspreis a common wto incate cret sprea in a market. The four-yeswrate (fixeleg of interest rate swap) cuseincation of the four-yecorporate yiel Ring the yielcurve purchasing a four-yezero-coupon bonwith a yielof 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)4 = 83.058]} anthen selling it when it becomes a two-yezero-coupon bonwith a yielof 3.00% {i.e., 2.70% +0.30%, [P2 = 100/(1 + 0.0300)2 = 94.260]} proces annureturn of 6.53%: (94.260/83.058)0.5 - 1.0 = 0.0653.请问这里的P2 P4为什么不能用spot rate 一期期往前折 而是直接用了S2 S4
NO.PZ201701230200000203 问题如下 3. In presenting Investment 2, Smith shoulshow annureturn closest to: A.4.31%. B.5.42%. C.6.53%. C is correct. The swspreis a common wto incate cret sprea in a market. The four-yeswrate (fixeleg of interest rate swap) cuseincation of the four-yecorporate yiel Ring the yielcurve purchasing a four-yezero-coupon bonwith a yielof 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)4 = 83.058]} anthen selling it when it becomes a two-yezero-coupon bonwith a yielof 3.00% {i.e., 2.70% +0.30%, [P2 = 100/(1 + 0.0300)2 = 94.260]} proces annureturn of 6.53%: (94.260/83.058)0.5 - 1.0 = 0.0653. 两年期折现的时候为什么不用 S2与S4推导出来的 f(2,2) 来折 而是用 spot rate
NO.PZ201701230200000203 请问答案说的P4和P2分别是什么？如果是用骑乘策略，不应该是站在第2年末分别算出4年和2年零息债券的价格吗？
NO.PZ201701230200000203 (94.260/83.058)0.5 - 1.0 = 0.0653 不明白使用什么复利公式计算的，麻烦老师一下。