问题如下:
An investor purchases a nine-year, 7% annual coupon payment bond at a price equal to par value. After the bond is purchased and before the first coupon is received, interest rates increase to 8%. The investor sells the bond after five years. Assume that interest rates remain unchanged at 8% over the five-year holding period.
Assuming that all coupons are reinvested over the holding period, the investor’s five-year horizon yield is closest to:
选项:
A.5.66%.
B.6.62%.
C.7.12%.
解释:
B is correct.
The investor’s five-year horizon yield is closest to 6.62%. After five years, the sale price of the bond is 96.69 and the future value of reinvested cash flows at 6% is 41.0662 per 100 of par value. The total return is 137.76 (= 41.07 + 96.69), resulting in a realized five-year horizon yield of 6.62%:
r = 0.0662
41.0662=7 + 7*1.08 + 7*1.08^2 + 7*1.08^3 + 7*1.08^4
96.6879=7/1.08 + 7/1.08^2 + 7/1.08^3 + 107/1.08^4
reinvest为什么是6%?应该是7%吧?谢谢