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樱花海 · 2019年10月19日

问一道题:NO.PZ2016031001000079 [ CFA I ]

问题如下图:

选项:

A.

B.

C.

解释:

second call为啥发生在第四年?FV为啥不是第五年的PV100

1 个答案

吴昊_品职助教 · 2019年10月19日

请看题目中的表格,如果债券第二次call回,是在第四年。债券在第四年call回,赎回价格为101,不是第五年的100.

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NO.PZ2016031001000079问题如下 A bonwith 5 years remaining until maturity is currently trang for 101 per 100 of pvalue. The bonoffers a 6% coupon rate with interest paisemiannually. The bonis first callable in 3 years, anis callable after thte on coupon tes accorng to the following schele: The bons annuyielto-seconcall is closest to:A.2.97%.B.5.72%.C.5.94%. C is correct.The yielto-seconcall is 5.94%. Given the seconcall te is exactly four years away, the formula for calculating this bons yielto-seconcall is:PV=PMT(1+r)1+PMT(1+r)2+PMT(1+r)3+⋯+PMT(1+r)7+PMT+FV(1+r)8PV=\frac{PMT}{{(1+r)}^1}+\frac{PMT}{{(1+r)}^2}+\frac{PMT}{{(1+r)}^3}+\cts+\frac{PMT}{{(1+r)}^7}+\frac{PMT+FV}{{(1+r)}^8}PV=(1+r)1PMT​+(1+r)2PMT​+(1+r)3PMT​+⋯+(1+r)7PMT​+(1+r)8PMT+FV​where:PV = present value, or the priof the bonMT = coupon payment per perioV = call pripaicall ter = market scount rate, or requirerate of return per perio01=3(1+r)1+3(1+r)2+3(1+r)3+⋯+3(1+r)7+3+101(1+r)8101=\frac3{{(1+r)}^1}+\frac3{{(1+r)}^2}+\frac3{{(1+r)}^3}+\cts+\frac3{{(1+r)}^7}+\frac{3+101}{{(1+r)}^8}101=(1+r)13​+(1+r)23​+(1+r)33​+⋯+(1+r)73​+(1+r)83+101​r = 0.0297To arrive the annualizeyielto-seconcall, the semiannurate of 2.97% must multiplietwo. Therefore, the yielto-seconcall is equto 2.97% × 2 = 5.94%. 考点YTC解析求的是yielto-seconcall,第二次赎回价格为101,因此FV=101,N=4×2=8,PMT=3,PV= -101,求得I/Y=2.97,再乘2得YTC为5.94%,故C正确。 没看懂为啥FV和PV都是101

2023-07-05 17:00 1 · 回答

NO.PZ2016031001000079问题如下A bonwith 5 years remaining until maturity is currently trang for 101 per 100 of pvalue. The bonoffers a 6% coupon rate with interest paisemiannually. The bonis first callable in 3 years, anis callable after thte on coupon tes accorng to the following schele: The bons annuyielto-seconcall is closest to:A.2.97%.B.5.72%.C.5.94%. C is correct.The yielto-seconcall is 5.94%. Given the seconcall te is exactly four years away, the formula for calculating this bons yielto-seconcall is:PV=PMT(1+r)1+PMT(1+r)2+PMT(1+r)3+⋯+PMT(1+r)7+PMT+FV(1+r)8PV=\frac{PMT}{{(1+r)}^1}+\frac{PMT}{{(1+r)}^2}+\frac{PMT}{{(1+r)}^3}+\cts+\frac{PMT}{{(1+r)}^7}+\frac{PMT+FV}{{(1+r)}^8}PV=(1+r)1PMT​+(1+r)2PMT​+(1+r)3PMT​+⋯+(1+r)7PMT​+(1+r)8PMT+FV​where:PV = present value, or the priof the bonMT = coupon payment per perioV = call pripaicall ter = market scount rate, or requirerate of return per perio01=3(1+r)1+3(1+r)2+3(1+r)3+⋯+3(1+r)7+3+101(1+r)8101=\frac3{{(1+r)}^1}+\frac3{{(1+r)}^2}+\frac3{{(1+r)}^3}+\cts+\frac3{{(1+r)}^7}+\frac{3+101}{{(1+r)}^8}101=(1+r)13​+(1+r)23​+(1+r)33​+⋯+(1+r)73​+(1+r)83+101​r = 0.0297To arrive the annualizeyielto-seconcall, the semiannurate of 2.97% must multiplietwo. Therefore, the yielto-seconcall is equto 2.97% × 2 = 5.94%. 考点YTC解析求的是yielto-seconcall,第二次赎回价格为101,因此FV=101,N=4×2=8,PMT=3,PV= -101,求得I/Y=2.97,再乘2得YTC为5.94%,故C正确。 按计算器的时候,N=8,PMT=3,FV=101,PV是怎么算出来的呀

2023-03-13 07:55 1 · 回答

NO.PZ2016031001000079问题如下A bonwith 5 years remaining until maturity is currently trang for 101 per 100 of pvalue. The bonoffers a 6% coupon rate with interest paisemiannually. The bonis first callable in 3 years, anis callable after thte on coupon tes accorng to the following schele: The bons annuyielto-seconcall is closest to:A.2.97%.B.5.72%.C.5.94%. C is correct.The yielto-seconcall is 5.94%. Given the seconcall te is exactly four years away, the formula for calculating this bons yielto-seconcall is:PV=PMT(1+r)1+PMT(1+r)2+PMT(1+r)3+⋯+PMT(1+r)7+PMT+FV(1+r)8PV=\frac{PMT}{{(1+r)}^1}+\frac{PMT}{{(1+r)}^2}+\frac{PMT}{{(1+r)}^3}+\cts+\frac{PMT}{{(1+r)}^7}+\frac{PMT+FV}{{(1+r)}^8}PV=(1+r)1PMT​+(1+r)2PMT​+(1+r)3PMT​+⋯+(1+r)7PMT​+(1+r)8PMT+FV​where:PV = present value, or the priof the bonMT = coupon payment per perioV = call pripaicall ter = market scount rate, or requirerate of return per perio01=3(1+r)1+3(1+r)2+3(1+r)3+⋯+3(1+r)7+3+101(1+r)8101=\frac3{{(1+r)}^1}+\frac3{{(1+r)}^2}+\frac3{{(1+r)}^3}+\cts+\frac3{{(1+r)}^7}+\frac{3+101}{{(1+r)}^8}101=(1+r)13​+(1+r)23​+(1+r)33​+⋯+(1+r)73​+(1+r)83+101​r = 0.0297To arrive the annualizeyielto-seconcall, the semiannurate of 2.97% must multiplietwo. Therefore, the yielto-seconcall is equto 2.97% × 2 = 5.94%. 考点YTC解析求的是yielto-seconcall,第二次赎回价格为101,因此FV=101,N=4×2=8,PMT=3,PV= -101,求得I/Y=2.97,再乘2得YTC为5.94%,故C正确。 如题。……………..

2023-03-06 09:18 1 · 回答

老师可以一下Yielto seconcall,yielto call区别吗?

2020-11-29 23:15 1 · 回答

n=8 pmt=3 pv=-101 fv=100 这么摁计算机为什么不对? 算出来2.858 2.858*2=5.72

2020-08-31 23:14 1 · 回答