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我叫仙人涨 · 2020年04月06日

问一道题:NO.PZ201712110200000207

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问题如下:

Based on Exhibits 4 and 7, the present value of Bond D’s cash flows following Path 2 is closest to:

选项:

A.

97.0322.

B.

102.8607.

C.

105.8607.

解释:

B is correct.

The present value of Bond D’s cash flows following Path 2 is 102.8607 and can be calculated as follows:

Time 2 node value = 0.5 × [(103/1.016487) + (103/1.016487)] + 3 =104.3294.

Time 1 node values = (104.3294/1.028853) + 3 = 104.4036.

Time 0 node value (Path 2 PV) = (104.4036/1.015) = 102.8607.

为什么不能把每个节点当成spot rate来用呢?


103/(1.016487)3+3/(1.028853)3+3/1.015=103.86


我黑体字这样算不可以么?为什么呢



1 个答案

WallE_品职答疑助手 · 2020年04月07日

因为这个路径是二叉树的一部分,二叉树就期权价格是一期一期从后往前折现的。