问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
可否先求spread的加权平均？把YTM=rf+spread（expected）然后折现求和？上课老师好像说过可以把折现求和中的ytm看成Rf+risk premium，那这里的spread的加权平均可都看成risk premium的部分呢？
NO.PZ2016082406000024 A two-yezero-coupon bonissueACo. is currently rateThe market expects thone yefrom now the probability ththe rating of Aremains is wngrato BBor is upgrato are, respectively, 80%, 15%, an5%. Suppose ththe risk-free rate is fl1% anthcret sprea for AA-, A-, anBBB-rateare fl80, 150, an280 basis points, respectively. All rates are compounannually. Whis the best approximation of the expectevalue of the zero-coupon bonone yefrom now? 97.41 97.37 94.89 92.44 ANSWER: A After one year, the bonbecomes a one-yezero-coupon bon The respective values are, for AanBBPAA=1001+0.0180=98.23P_{AA}=\frac{100}{1+0.0180}=98.23PAA=1+0.0180100=98.23, 97.56, an96.34. Note thprices are lower for lower ratings. The expectevalue is given P=∑πiPi=5%×98.23+80%×97.56+15%×96.34=97.41P=\sum\pi_iP_i=5\%\times98.23+80\%\times97.56+15\%\times96.34=97.41P=∑πiPi=5%×98.23+80%×97.56+15%×96.34=97.41. 答案里为什么没有折2年现值呀?
A two-yezero-coupon bonissueACo. is currently rateThe market expects thone yefrom now the probability ththe rating of Aremains is wngrato BBor is upgrato are, respectively, 80%, 15%, an5%. Suppose ththe risk-free rate is fl1% anthcret sprea for AA-, A-, anBBB-rateare fl80, 150, an280 basis points, respectively. All rates are compounannually. Whis the best approximation of the expectevalue of the zero-coupon bonone yefrom now? 97.41 97.37 94.89 92.44 ANSWER: A After one year, the bonbecomes a one-yezero-coupon bon The respective values are, for AanBBPAA=1001+0.0180=98.23P_{AA}=\frac{100}{1+0.0180}=98.23PAA=1+0.0180100=98.23, 97.56, an96.34. Note thprices are lower for lower ratings. The expectevalue is given P=∑πiPi=5%×98.23+80%×97.56+15%×96.34=97.41P=\sum\pi_iP_i=5\%\times98.23+80\%\times97.56+15\%\times96.34=97.41P=∑πiPi=5%×98.23+80%×97.56+15%×96.34=97.41. 还是不明白为什么这个折现率就是1% + AA到AA-的80= 1.8%了？ 不是还有其他两个sprea？
A two-yezero-coupon bonissueACo. is currently rateThe market expects thone yefrom now the probability ththe rating of Aremains is wngrato BBor is upgrato are, respectively, 80%, 15%, an5%. Suppose ththe risk-free rate is fl1% anthcret sprea for AA-, A-, anBBB-rateare fl80, 150, an280 basis points, respectively. All rates are compounannually. Whis the best approximation of the expectevalue of the zero-coupon bonone yefrom now? 97.41 97.37 94.89 92.44 ANSWER: A After one year, the bonbecomes a one-yezero-coupon bon The respective values are, for AanBBPAA=1001+0.0180=98.23P_{AA}=\frac{100}{1+0.0180}=98.23PAA=1+0.0180100=98.23, 97.56, an96.34. Note thprices are lower for lower ratings. The expectevalue is given P=∑πiPi=5%×98.23+80%×97.56+15%×96.34=97.41P=\sum\pi_iP_i=5\%\times98.23+80\%\times97.56+15\%\times96.34=97.41P=∑πiPi=5%×98.23+80%×97.56+15%×96.34=97.41. PAA=100/(1+0.0180) =98.23, 97.56, an96.34. 0.018是怎么来的啊老师请问下 还有他是A变A,AA,BBB.和这些A-。。。这些的sprea什么关系
A two-yezero-coupon bonissueACo. is currently rateThe market expects thone yefrom now the probability ththe rating of Aremains is wngrato BBor is upgrato are, respectively, 80%, 15%, an5%. Suppose ththe risk-free rate is fl1% anthcret sprea for AA-, A-, anBBB-rateare fl80, 150, an280 basis points, respectively. All rates are compounannually. Whis the best approximation of the expectevalue of the zero-coupon bonone yefrom now? 97.41 97.37 94.89 92.44 ANSWER: A After one year, the bonbecomes a one-yezero-coupon bon The respective values are, for AanBBPAA=1001+0.0180=98.23P_{AA}=\frac{100}{1+0.0180}=98.23PAA=1+0.0180100=98.23, 97.56, an96.34. Note thprices are lower for lower ratings. The expectevalue is given P=∑πiPi=5%×98.23+80%×97.56+15%×96.34=97.41P=\sum\pi_iP_i=5\%\times98.23+80\%\times97.56+15\%\times96.34=97.41P=∑πiPi=5%×98.23+80%×97.56+15%×96.34=97.41. 这里面说risk free rate is fl1%，有什么意义？ “is flat”这句话是什么意思。。我还以为这是inflation rate.
A two-yezero-coupon bonissueACo. is currently rateThe market expects thone yefrom now the probability ththe rating of Aremains is wngrato BBor is upgrato are, respectively, 80%, 15%, an5%. Suppose ththe risk-free rate is fl1% anthcret sprea for AA-, A-, anBBB-rateare fl80, 150, an280 basis points, respectively. All rates are compounannually. Whis the best approximation of the expectevalue of the zero-coupon bonone yefrom now? 97.41 97.37 94.89 92.44 ANSWER: A After one year, the bonbecomes a one-yezero-coupon bon The respective values are, for AanBBPAA=1001+0.0180=98.23P_{AA}=\frac{100}{1+0.0180}=98.23PAA=1+0.0180100=98.23, 97.56, an96.34. Note thprices are lower for lower ratings. The expectevalue is given P=∑πiPi=5%×98.23+80%×97.56+15%×96.34=97.41P=\sum\pi_iP_i=5\%\times98.23+80\%\times97.56+15\%\times96.34=97.41P=∑πiPi=5%×98.23+80%×97.56+15%×96.34=97.41. compounannually,不是连续复利形式吗,为什么是用单利算出来的
