开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

傅佳丽Diana · 2020年02月07日

问一道题：NO.PZ2018123101000025

  1. CFA II
  2. Fixed Income

问题如下：

Smith gathers information on spot rates for on-the-run annual-coupon government securities and swap spreads, as presented in Exhibit below.

If Smith buys a government security, he would have an annualized return that is nearly risk free. Smith could show that under the no-arbitrage principle, the forward price of a one-year government bond to be issued in one year is closest to:

选项：

A.

0.9662

B.

0.9694

C.

0.9780

解释：

B is correct.

考点：考察Forward price概念

解析：由公式可求

P(T∗+T)=P(T∗)F(T∗,T)P(T^\ast+T)=P(T^\ast)F(T^\ast,T)

P(1)=1(1+0.0225)1P(1)=\frac1{{(1+0.0225)}^1}

P(2)=1(1+0.0270)2P(2)=\frac1{{(1+0.0270)}^2}

F(1,1)=P(2)P(1)=0.94810.9780=0.9694F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694

有时候是求p来，有时候是直接（1+s）有什么区别，怎么区分用哪个公示

添加评论
1 个答案

吴昊_品职助教 · 2020年02月08日

嗨，爱思考的PZer你好：


如果题目中直接让我们求的是远期利率，也就是你上一题遇到的情况。那么就直接用(1+S1)[1+f(1,1)]=(1+S2)^2类似的公式就可以求得远期利率。

如果题目中让我们求得是forward price，也就是这一题的情况，就用这道题解释中的公式来计算。


-------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！


  • 1

    回答

  • 0

    关注

  • 413

    浏览
相关问题

NO.PZ2018123101000025 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.If Smith buys a government security, he woulhave annualizereturn this nearly risk free. Smith coulshow thunr the no-arbitrage principle, the forwarpriof a one-yegovernment bonto issuein one yeis closest to: A.0.9662 B.0.9694 C.0.9780 B is correct.考点考察Forwarprice概念解析由公式可求P(T∗+T)=P(T∗)F(T∗,T)P(T^\ast+T)=P(T^\ast)F(T^\ast,T)P(T∗+T)=P(T∗)F(T∗,T)P(1)=1(1+0.0225)1P(1)=\frac1{{(1+0.0225)}^1}P(1)=(1+0.0225)11​P(2)=1(1+0.0270)2P(2)=\frac1{{(1+0.0270)}^2}P(2)=(1+0.0270)21​F(1,1)=P(2)P(1)=0.94810.9780=0.9694F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694F(1,1)=P(1)P(2)​=0.97800.9481​=0.9694 这个题swsprea没有用的吗？

2024-01-31 15:51 1 · 回答

NO.PZ2018123101000025 问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.If Smith buys a government security, he woulhave annualizereturn this nearly risk free. Smith coulshow thunr the no-arbitrage principle, the forwarpriof a one-yegovernment bonto issuein one yeis closest to: A.0.9662 B.0.9694 C.0.9780 B is correct.考点考察Forwarprice概念解析由公式可求P(T∗+T)=P(T∗)F(T∗,T)P(T^\ast+T)=P(T^\ast)F(T^\ast,T)P(T∗+T)=P(T∗)F(T∗,T)P(1)=1(1+0.0225)1P(1)=\frac1{{(1+0.0225)}^1}P(1)=(1+0.0225)11​P(2)=1(1+0.0270)2P(2)=\frac1{{(1+0.0270)}^2}P(2)=(1+0.0270)21​F(1,1)=P(2)P(1)=0.94810.9780=0.9694F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694F(1,1)=P(1)P(2)​=0.97800.9481​=0.9694 老师，在这个题型里，就不需要考虑2那个时间点上的现金流了对吗，都用1/（1+X%）来计算当年的forwarprice吗？

2023-03-20 14:45 1 · 回答

NO.PZ2018123101000025问题如下Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.If Smith buys a government security, he woulhave annualizereturn this nearly risk free. Smith coulshow thunr the no-arbitrage principle, the forwarpriof a one-yegovernment bonto issuein one yeis closest to:A.0.9662B.0.9694C.0.9780B is correct.考点考察Forwarprice概念解析由公式可求P(T∗+T)=P(T∗)F(T∗,T)P(T^\ast+T)=P(T^\ast)F(T^\ast,T)P(T∗+T)=P(T∗)F(T∗,T)P(1)=1(1+0.0225)1P(1)=\frac1{{(1+0.0225)}^1}P(1)=(1+0.0225)11​P(2)=1(1+0.0270)2P(2)=\frac1{{(1+0.0270)}^2}P(2)=(1+0.0270)21​F(1,1)=P(2)P(1)=0.94810.9780=0.9694F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694F(1,1)=P(1)P(2)​=0.97800.9481​=0.9694the forwarpriof a one-yegovernment bonto issuein one ye是指F（1，1)没说the beginning 和多少years

2023-02-26 15:21 1 · 回答

NO.PZ2018123101000025问题如下 Smith gathers information on spot rates for on-the-run annual-coupon government securities answsprea, presentein Exhibit below.If Smith buys a government security, he woulhave annualizereturn this nearly risk free. Smith coulshow thunr the no-arbitrage principle, the forwarpriof a one-yegovernment bonto issuein one yeis closest to:A.0.9662B.0.9694C.0.9780B is correct.考点考察Forwarprice概念解析由公式可求P(T∗+T)=P(T∗)F(T∗,T)P(T^\ast+T)=P(T^\ast)F(T^\ast,T)P(T∗+T)=P(T∗)F(T∗,T)P(1)=1(1+0.0225)1P(1)=\frac1{{(1+0.0225)}^1}P(1)=(1+0.0225)11​P(2)=1(1+0.0270)2P(2)=\frac1{{(1+0.0270)}^2}P(2)=(1+0.0270)21​F(1,1)=P(2)P(1)=0.94810.9780=0.9694F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694F(1,1)=P(1)P(2)​=0.97800.9481​=0.9694这个知识点哪里讲到的？我没印象了

2023-02-23 17:13 1 · 回答

NO.PZ2018123101000025 0.9694 0.9780 B is correct. 考点考察Forwarprice概念 解析由公式可求 P(T∗+T)=P(T∗)F(T∗,T)P(T^\ast+T)=P(T^\ast)F(T^\ast,T)P(T∗+T)=P(T∗)F(T∗,T) P(1)=1(1+0.0225)1P(1)=\frac1{{(1+0.0225)}^1}P(1)=(1+0.0225)11​ P(2)=1(1+0.0270)2P(2)=\frac1{{(1+0.0270)}^2}P(2)=(1+0.0270)21​ F(1,1)=P(2)P(1)=0.94810.9780=0.9694F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694F(1,1)=P(1)P(2)​=0.97800.9481​=0.9694 这道题如果我算出了forwarrate，求价格时为什么不是1/（1+f）后再除以（1+2.25%）来把价格折到零时刻呢？

2022-01-20 14:14 2 · 回答