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FrankSun · 2020年02月16日

问一道题：NO.PZ2018062006000069

  1. CFA I
  2. Fixed Income

问题如下：

Today is 5 June 2013.  A three-year semi-annual bond with a coupon rate of 6% just paid its first coupon payment. The par value is 100. The interest payment dates are 5 April and 5 October. The yield-to-maturity equals to 5%. If day count convention is 30/360, calculate the full price of this bond on 5 June 2013

选项：

A.

100.00

B.

103.17

C.

100.39

解释：

B is correct.

The bond price at the first coupon payment date ( 5 April 2013) is:

N=5，I/Y=2.5，PMT=3，FV=100  → PV= -102.32

The number of days between 5 April 2013 and today (5 June 2013) is 60 days based on the 30/360 day count convention. Thus, the full price of the bond is:

102.32 ×（1+2.5%）60/180=103.17

老师，N等于6才对吧？

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1 个答案

吴昊_品职助教 · 2020年02月16日

现在的时间点是2013.6.5，在两个月前已经有了第一笔coupon，未来还有五笔现金流，分别是2013.10.5；2014.4.5；2014.10.5；2015.4.5以及2015.10.5。所以N是5，一定要画现金流时间轴。

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NO.PZ2018062006000069 问题如下 Toy is 5 June 2013. A three-yesemi-annubonwith a coupon rate of 6% just paiits first coupon payment. The pvalue is 100. The interest payment tes are 5 April an5 October. The yielto-maturity equals to 5%. If y count convention is 30/360, calculate the full priof this bonon 5 June 2013 A.100.00 B.103.17 C.100.39 B is correct.The bonprithe first coupon payment te ( 5 April 2013) is:N=5，I/Y=2.5，PMT=3，FV=100 → PV= -102.32The number of ys between 5 April 2013 antoy (5 June 2013) is 60 ys baseon the 30/360 y count convention. Thus, the full priof the bonis:102.32 ×（1+2.5%）60/180=103.17考点flpri full price解析首先，我们将未来五笔现金流折现到2013.4.5，得到现值之和为102.32。N=5，PMT=3，I/Y=2.5，FV=100，求得PV=102.32然后再将这个数值复利到2013.6.5，得到full price为103.17，故B正确。 本债券是一年付息两次的三年期的债券，总共有六笔现金流。现在的时间点是2013.6.5，题干告知在两个月前已经有了第一笔coupon，发生在2013.4.5。因此可以得知，三年期的债券的期限为2012.10.5-2015.10.5.现在是2013.6.5，未来还有五笔现金流，分别是2013.10.5；2014.4.5；2014.10.5；2015.4.5以及2015.10.5。以上理解正确吗？

2023-06-13 15:02 1 · 回答

NO.PZ2018062006000069 问题如下 Toy is 5 June 2013. A three-yesemi-annubonwith a coupon rate of 6% just paiits first coupon payment. The pvalue is 100. The interest payment tes are 5 April an5 October. The yielto-maturity equals to 5%. If y count convention is 30/360, calculate the full priof this bonon 5 June 2013 A.100.00 B.103.17 C.100.39 B is correct.The bonprithe first coupon payment te ( 5 April 2013) is:N=5，I/Y=2.5，PMT=3，FV=100 → PV= -102.32The number of ys between 5 April 2013 antoy (5 June 2013) is 60 ys baseon the 30/360 y count convention. Thus, the full priof the bonis:102.32 ×（1+2.5%）60/180=103.17考点flpri full price解析首先，我们将未来五笔现金流折现到2013.4.5，得到现值之和为102.32。N=5，PMT=3，I/Y=2.5，FV=100，求得PV=102.32然后再将这个数值复利到2013.6.5，得到full price为103.17，故B正确。 为啥不是N=6，分别是2013.10.5；2014.4.5；2014.10.5；2015.4.5，2015.10.5和5 April 2016。N是6吧？

2022-11-04 10:56 1 · 回答

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2022-07-17 00:32 1 · 回答

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2022-06-25 10:22 1 · 回答

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