问一道题：NO.PZ201812310200000104 第4小题 [ CFA II ]

NO.PZ201812310200000104 问题如下 The market priof bonis1,090. If the bonis purchasethis priand there is a fault on te 3, the rate of return to the bonbuyer woulbe closest to: –28.38%. –41.72%. –69.49%. A is correct. If fault occurs on te 3, the rate of return cobtainesolving the following equation for internrate of return (IRR): 1090= 60 1+IRR + 60 (1+IRR) 2 + 326.74 (1+IRR) 3 In this equation, €60 is the amount of coupon receivetes 1 an2 prior to fault te 3. The amount €326.74 is the recovery Time 3 (from the CVA table in the solution to the previous question). The solution to the foregoing equation can obtaineusing the cash flow IRR function on your calculator. 计算IRR时，为什么第一年和第二年的分子是60，第三年的分子是exposure*rr

NO.PZ201812310200000104问题如下 The market priof bonis1,090. If the bonis purchasethis priand there is a fault on te 3, the rate of return to the bonbuyer woulbe closest to: –28.38%. –41.72%. –69.49%. A is correct. If fault occurs on te 3, the rate of return cobtainesolving the following equation for internrate of return (IRR): 1090= 60 1+IRR + 60 (1+IRR) 2 + 326.74 (1+IRR) 3 In this equation, €60 is the amount of coupon receivetes 1 an2 prior to fault te 3. The amount €326.74 is the recovery Time 3 (from the CVA table in the solution to the previous question). The solution to the foregoing equation can obtaineusing the cash flow IRR function on your calculator. 如题！！！！！！！！！！！！！

NO.PZ201812310200000104问题如下 niela Ibarra is a senior analyst in the fixeincome partment of a large wealth management firm. Marten Koning is a junior analyst in the same partment, anviLok is a member of the cret researteam. The firm invests in a variety of bon. Ibarra is presently analyzing a set of bon with some similcharacteristics, sufour years until maturity ana pvalue of €1,000. Exhibit 1 inclus tails of these bon. Ibarra asks Koning to assist her with analyzing the bon. She wants him to perform the analysis with the assumptions ththere is no interest rate volatility anththe government bonyielcurve is fl3%. Ibarra performs the analysis assuming upwarsloping yielcurve anvolatile interest rates. Exhibit 2 provis the ta on annupayment benchmark government bon. She uses this ta to construct a binomiinterest rate tree (shown in Exhibit 3) baseon assumption of future interest rate volatility of 20%. Exhibit 3. One-YeBinomiInterest Rate Tree for 20% Volatility Answer the first five questions (1–4) baseon the assumptions ma Marten Koning, the junior analyst. Answer questions (8–12) baseon the assumptions ma niela Ibarrthe senior analyst. Note: All calculations in this problem set are carrieout on spreaheets to preserve precision. The rounresults are reportein the solutions. Note: You muse the Exhibit 7 from the reang. Here is the Exhibit 7. The market priof bonis1,090. If the bonis purchasethis priand there is a fault on te 3, the rate of return to the bonbuyer woulbe closest to: –28.38%. –41.72%. –69.49%. A is correct. If fault occurs on te 3, the rate of return cobtainesolving the following equation for internrate of return (IRR): 1090= 60 1+IRR + 60 (1+IRR) 2 + 326.74 (1+IRR) 3 In this equation, €60 is the amount of coupon receivetes 1 an2 prior to fault te 3. The amount €326.74 is the recovery Time 3 (from the CVA table in the solution to the previous question). The solution to the foregoing equation can obtaineusing the cash flow IRR function on your calculator. 上一问没看见有算出326.74

NO.PZ201812310200000104 问题如下 The market priof bonis1,090. If the bonis purchasethis priand there is a fault on te 3, the rate of return to the bonbuyer woulbe closest to: –28.38%. –41.72%. –69.49%. A is correct. If fault occurs on te 3, the rate of return cobtainesolving the following equation for internrate of return (IRR): 1090= 60 1+IRR + 60 (1+IRR) 2 + 326.74 (1+IRR) 3 In this equation, €60 is the amount of coupon receivetes 1 an2 prior to fault te 3. The amount €326.74 is the recovery Time 3 (from the CVA table in the solution to the previous question). The solution to the foregoing equation can obtaineusing the cash flow IRR function on your calculator. 用excel算出来不是28，是26怎么办第三年Recover 是326.73786，加上前两年coupon = 60/(1+3%)^2+60/(1+3%), 一共是441.5460，然后用这个=(441.5460/1090)^(1/3)-1，算出来IRR是-26%。请问是计算方法不对，还是小数点保留问题啊？用手算而不用计算器求IRR，是因为怕忘记用FV - 最后一年的coupon(PMT)

NO.PZ201812310200000104