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Coral · 2019年07月28日

问一道题:NO.PZ2016031002000031 [ CFA I ]

问题如下图:老师,为啥不是100/(1+6%)+100/(1+8%)+1100/(1+10%),课上的例题折算也是这样做的,这两道题情况有什么不同呢?

选项:

A.

B.

C.

解释:

1 个答案
已采纳答案

吴昊_品职助教 · 2019年07月29日

题目中的8%和10%是远期利率,而不是即期利率。所以不能用你说的方法来做。

并且,如果我改一下已知条件,将8%和10%换成两年期和三年期的即期利率,我们折现求和也应该是100/(1+6%)+100/(1+8%)^2+1100/(1+10%)^3
你的列式中,后两项分母都缺少次方,这样列式是不对的。

加油~

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