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Howard · 2020年02月28日

两个不同COUPON的债券可以直接做加减比较吗?

问题如下:

Maureen is assessing the value of an infrequently traded bond with an annual coupon of 6%.The bond has 6 years to maturity. Maureen has collected yields-to-maturity for more liquid bonds with the same credit rating:

l5% coupon, 8 years to maturity, yielding 8.03%.

l6% coupon, 5 years to maturity, yielding 6.50%.

The infrequently traded bond is most likely to trade at:

选项:

A.

par value.

B.

a premium to par value.

C.

a discount to par value.

解释:

C is correct.

Using linear interpolation, the yield on a bond with six years to maturity should be 6.50%+(1/3)(8.03%−6.50%)=7.01%. A bond with a 6% coupon and a yield of 7.01% is at a discount to par value.

不需要根据COUPON调整吗?

1 个答案

吴昊_品职助教 · 2020年02月29日

不需要调整coupon,matrix pricing中需要用到线性插值法来计算不同maturity债券的YTM。