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Shawnxz · 2020年03月14日

问一道题:NO.PZ2018123101000078

问题如下:

Hsu also selects the two floating-rate bonds issued by Varlep, plc given in the table below. These bonds have a maturity of three years and the same credit rating.

To value Varlep’s bonds, Hsu constructs the binomial interest rate tree provided in the exhibit below:

The value of Bond #7 is to:

选项:

A.

99.697% of par.

B.

99.936% of par.

C.

101.153% of par.

解释:

A is correct.

考点:利用二叉树模型对浮动利率债券进行估值

解析:

注意因为Bond 7具有利率顶(Capped at 5.00%),所以高于5的coupon是取不到了,因此高于5的Coupon需要调整到5。如下图红色所示:

请问Y=1,HH和HL的计算公式是什么?计算现金流的coupon应该是什么?,

我的算法是0.5*(98.714+99.9912+4.5+4.5)/(1+4.5027%)

1 个答案
已采纳答案

WallE_品职答疑助手 · 2020年03月14日

二叉树求价格是从最后一期开始往前面折。

所以Y=1的时候,HH1=[(98.714+99.991)/2+4.5027]/(1+4.5027%)=99.381

同理,HL=[(100+99.991)/2+3.5419]/(1+3.5419%)=99.996

同学你是全线班的课程嘛? 老师在基础班视频里面有反复强调二叉树的计算,建议您好好听听老师的讲解。

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