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Ariel · 2020年04月25日

问一道题：NO.PZ2018123101000018

  1. CFA II
  2. Fixed Income

问题如下：

Jane is a bond trader for an investment bank. Exhibit 1 presents the current par and spot rates.

Note: Par and spot rates are based on annual-coupon sovereign bonds.

Based on Exhibit 1, the five-year spot rate is closest to:

选项：

A.

4.40%

B.

4.45%

C.

4.50%

解释：

B is correct.

考点：The Swap Rate Curve和Spot rate的关系

解析：

已知1-year, 2-year, 3-year, 4-year的Spot rate，也知道5-year的Swap rate，根据由Swap rate求Spot rate的方法，有公式：

l1=0.0437(1.025)+0.0437(1.030)2+0.0437(1.035)3+0.0437(1.04)4+1+0.0437(1+S5)5S5=4.45%{l}1=\frac{0.0437}{(1.025)}+\frac{0.0437}{{(1.030)}^2}+\frac{0.0437}{{(1.035)}^3}\text{+}\frac{0.0437}{{(1.04)}^4}+\frac{1+0.0437}{{(1+S_5)}^5}\\S_5=4.45\%

这里l1等于多少？

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1 个答案

WallE_品职答疑助手 · 2020年04月25日

同学你好，你是不是看到的答案乱码了。

这里是1的意思 没有l1

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