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

一只可爱的猪 · 2020年03月02日

问一道题:NO.PZ2016031001000111

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.

The capital gain/loss per 100 of par value resulting from the sale of the bond at the end of the five-year holding period is closest to a:

选项:

A.

loss of 8.45.

B.

loss of 3.31.

C.

gain of 2.75.

解释:

B is correct.

The capital loss is closest to 3.31 per 100 of par value. After five years, the bond has four years remaining until maturity and the sale price of the bond is 96.69, calculated as:

7(1.08)1+7(1.08)2+7(1.08)3+107(1.08)4=96.69\frac7{{(1.08)}^1}+\frac7{{(1.08)}^2}+\frac7{{(1.08)}^3}+\frac{107}{{(1.08)}^4}=96.69

The investor purchased the bond at a price equal to par value (100). Because the bond was purchased at a price equal to its par value, the carrying value is par value. Therefore, the investor experienced a capital loss of 96.69 - 100 = -3.31.

我做对了,但是有一个疑问,题目中只说了在前5年是intereset rate为8%并且不变,但是并没有说后面4年也是这样。为什么我们可以直接用I/Y=8 来算

1 个答案

吴昊_品职助教 · 2020年03月02日

这个债券期限是9年,持有期是5年,也就是在第五年末将债券卖出。卖出的价格是多少,也取决于未来现金流的折现求和。题目没有说,就是默认利率调整到8%以后一直没有发生变化。

  • 1

    回答
  • 0

    关注
  • 539

    浏览
相关问题

NO.PZ2016031001000111 问题如下 investor purchases a nine-year, 7% annucoupon payment bona priequto pvalue. After the bonis purchaseanbefore the first coupon is receive interest rates increase to 8%. The investor sells the bonafter five years. Assume thinterest rates remain unchange8% over the five-yeholng perio The capitgain/loss per 100 of pvalue resulting from the sale of the bonthe enof the five-yeholng periois closest to A.loss of 8.45. B.loss of 3.31. C.gain of 2.75. B is correct.The capitloss is closest to 3.31 per 100 of pvalue. After five years, the bonhfour years remaining until maturity anthe sale priof the bonis 96.69, calculateas:7(1.08)1+7(1.08)2+7(1.08)3+107(1.08)4=96.69\frac7{{(1.08)}^1}+\frac7{{(1.08)}^2}+\frac7{{(1.08)}^3}+\frac{107}{{(1.08)}^4}=96.69(1.08)17​+(1.08)27​+(1.08)37​+(1.08)4107​=96.69The investor purchasethe bona priequto pvalue (100). Because the bonwpurchasea priequto its pvalue, the carrying value is pvalue. Therefore, the investor experiencea capitloss of 96.69 - 100 = -3.31.考点capitgain(loss)解析一开始是以面值100购入债券,当收到第一笔coupon前,利率上涨至8%,五年后投资者又将债券卖出。现在题目要我们求的是capitgain(loss)。capitgain(loss)衡量的是债券售价和carrying value之间的差距,这道题的carrying value就是100,那我们只要算出selling price,两项相减即可。利用计算器计算债券售价N=4,PMT=7,I/Y=8,FV=100,求得PV= -96.69。求得的96.69是债券第五年卖出的sale prcie,债券在第五年能卖多少钱,取决于未来现金流折到第五年共有多少。故capitloss = 96.69-100 = -3.31,故B正确。 请问如果题目问题去掉capit单纯问gain/loss 是不是要考虑持有期获得的利息进来呢

2023-11-01 20:19 1 · 回答

NO.PZ2016031001000111 问题如下 investor purchases a nine-year, 7% annucoupon payment bona priequto pvalue. After the bonis purchaseanbefore the first coupon is receive interest rates increase to 8%. The investor sells the bonafter five years. Assume thinterest rates remain unchange8% over the five-yeholng perio The capitgain/loss per 100 of pvalue resulting from the sale of the bonthe enof the five-yeholng periois closest to A.loss of 8.45. B.loss of 3.31. C.gain of 2.75. B is correct.The capitloss is closest to 3.31 per 100 of pvalue. After five years, the bonhfour years remaining until maturity anthe sale priof the bonis 96.69, calculateas:7(1.08)1+7(1.08)2+7(1.08)3+107(1.08)4=96.69\frac7{{(1.08)}^1}+\frac7{{(1.08)}^2}+\frac7{{(1.08)}^3}+\frac{107}{{(1.08)}^4}=96.69(1.08)17​+(1.08)27​+(1.08)37​+(1.08)4107​=96.69The investor purchasethe bona priequto pvalue (100). Because the bonwpurchasea priequto its pvalue, the carrying value is pvalue. Therefore, the investor experiencea capitloss of 96.69 - 100 = -3.31.考点capitgain(loss)解析一开始是以面值100购入债券,当收到第一笔coupon前,利率上涨至8%,五年后投资者又将债券卖出。现在题目要我们求的是capitgain(loss)。capitgain(loss)衡量的是债券售价和carrying value之间的差距,这道题的carrying value就是100,那我们只要算出selling price,两项相减即可。利用计算器计算债券售价N=4,PMT=7,I/Y=8,FV=100,求得PV= -96.69。求得的96.69是债券第五年卖出的sale prcie,债券在第五年能卖多少钱,取决于未来现金流折到第五年共有多少。故capitloss = 96.69-100 = -3.31,故B正确。 一。 这是一个9年期中间卖掉,第五年的时候为什么是100+7??为社么不能根据9年期的条件求出PV,然后根据PV求出5年后的FV?二。 这类的题目思路是当前的现金流向后复利几期,为什么不能用未来现金流折现的思路呢?如果用折现思路,N=5吧?

2023-04-28 21:59 1 · 回答

NO.PZ2016031001000111 问题如下 investor purchases a nine-year, 7% annucoupon payment bona priequto pvalue. After the bonis purchaseanbefore the first coupon is receive interest rates increase to 8%. The investor sells the bonafter five years. Assume thinterest rates remain unchange8% over the five-yeholng perio The capitgain/loss per 100 of pvalue resulting from the sale of the bonthe enof the five-yeholng periois closest to A.loss of 8.45. B.loss of 3.31. C.gain of 2.75. B is correct.The capitloss is closest to 3.31 per 100 of pvalue. After five years, the bonhfour years remaining until maturity anthe sale priof the bonis 96.69, calculateas:7(1.08)1+7(1.08)2+7(1.08)3+107(1.08)4=96.69\frac7{{(1.08)}^1}+\frac7{{(1.08)}^2}+\frac7{{(1.08)}^3}+\frac{107}{{(1.08)}^4}=96.69(1.08)17​+(1.08)27​+(1.08)37​+(1.08)4107​=96.69The investor purchasethe bona priequto pvalue (100). Because the bonwpurchasea priequto its pvalue, the carrying value is pvalue. Therefore, the investor experiencea capitloss of 96.69 - 100 = -3.31.考点capitgain(loss)解析一开始是以面值100购入债券,当收到第一笔coupon前,利率上涨至8%,五年后投资者又将债券卖出。现在题目要我们求的是capitgain(loss)。capitgain(loss)衡量的是债券售价和carrying value之间的差距,这道题的carrying value就是100,那我们只要算出selling price,两项相减即可。利用计算器计算债券售价N=4,PMT=7,I/Y=8,FV=100,求得PV= -96.69。求得的96.69是债券第五年卖出的sale prcie,债券在第五年能卖多少钱,取决于未来现金流折到第五年共有多少。故capitloss = 96.69-100 = -3.31,故B正确。 之前我看老师解答其他同学的问题说了carrying value就是求的PV不是吗?咋现在又在求FV。我都晕了 每次这样的题目PV和FV都分不清楚

2023-04-26 08:08 1 · 回答

NO.PZ2016031001000111 问题如下 investor purchases a nine-year, 7% annucoupon payment bona priequto pvalue. After the bonis purchaseanbefore the first coupon is receive interest rates increase to 8%. The investor sells the bonafter five years. Assume thinterest rates remain unchange8% over the five-yeholng perio The capitgain/loss per 100 of pvalue resulting from the sale of the bonthe enof the five-yeholng periois closest to A.loss of 8.45. B.loss of 3.31. C.gain of 2.75. B is correct.The capitloss is closest to 3.31 per 100 of pvalue. After five years, the bonhfour years remaining until maturity anthe sale priof the bonis 96.69, calculateas:7(1.08)1+7(1.08)2+7(1.08)3+107(1.08)4=96.69\frac7{{(1.08)}^1}+\frac7{{(1.08)}^2}+\frac7{{(1.08)}^3}+\frac{107}{{(1.08)}^4}=96.69(1.08)17​+(1.08)27​+(1.08)37​+(1.08)4107​=96.69The investor purchasethe bona priequto pvalue (100). Because the bonwpurchasea priequto its pvalue, the carrying value is pvalue. Therefore, the investor experiencea capitloss of 96.69 - 100 = -3.31.考点capitgain(loss)解析一开始是以面值100购入债券,当收到第一笔coupon前,利率上涨至8%,五年后投资者又将债券卖出。现在题目要我们求的是capitgain(loss)。capitgain(loss)衡量的是债券售价和carrying value之间的差距,这道题的carrying value就是100,那我们只要算出selling price,两项相减即可。利用计算器计算债券售价N=4,PMT=7,I/Y=8,FV=100,求得PV= -96.69。求得的96.69是债券第五年卖出的sale prcie,债券在第五年能卖多少钱,取决于未来现金流折到第五年共有多少。故capitloss = 96.69-100 = -3.31,故B正确。 carring value就是pvalue吗

2023-04-26 06:47 1 · 回答

NO.PZ2016031001000111 问题如下 investor purchases a nine-year, 7% annucoupon payment bona priequto pvalue. After the bonis purchaseanbefore the first coupon is receive interest rates increase to 8%. The investor sells the bonafter five years. Assume thinterest rates remain unchange8% over the five-yeholng perio The capitgain/loss per 100 of pvalue resulting from the sale of the bonthe enof the five-yeholng periois closest to A.loss of 8.45. B.loss of 3.31. C.gain of 2.75. B is correct.The capitloss is closest to 3.31 per 100 of pvalue. After five years, the bonhfour years remaining until maturity anthe sale priof the bonis 96.69, calculateas:7(1.08)1+7(1.08)2+7(1.08)3+107(1.08)4=96.69\frac7{{(1.08)}^1}+\frac7{{(1.08)}^2}+\frac7{{(1.08)}^3}+\frac{107}{{(1.08)}^4}=96.69(1.08)17​+(1.08)27​+(1.08)37​+(1.08)4107​=96.69The investor purchasethe bona priequto pvalue (100). Because the bonwpurchasea priequto its pvalue, the carrying value is pvalue. Therefore, the investor experiencea capitloss of 96.69 - 100 = -3.31.考点capitgain(loss)解析一开始是以面值100购入债券,当收到第一笔coupon前,利率上涨至8%,五年后投资者又将债券卖出。现在题目要我们求的是capitgain(loss)。capitgain(loss)衡量的是债券售价和carrying value之间的差距,这道题的carrying value就是100,那我们只要算出selling price,两项相减即可。利用计算器计算债券售价N=4,PMT=7,I/Y=8,FV=100,求得PV= -96.69。求得的96.69是债券第五年卖出的sale prcie,债券在第五年能卖多少钱,取决于未来现金流折到第五年共有多少。故capitloss = 96.69-100 = -3.31,故B正确。 老师,这道题算的是capital/gain loss,是不是和horizon yiel全不一样?CapitGain/Loss = Sell Pri- Carrying Value, 不包括求coupon的future value而Horizon Yiel计算里面,包括了求Bon身的future value,以及coupon payments的future value,也就是reinvestment value?

2022-10-10 03:13 1 · 回答