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比如世界 · 2020年05月16日

问一道题:NO.PZ2020011303000166

问题如下:

In addition to the bond in the previous question, a one-year bond that pays coupons every six months at the rate of 3% per year is currently worth 98.5. What is the one-year discount factor?

选项:

解释:

The value of the coupon that will be paid in six months is 1.5 × 0.980488 = 1.4707.

This means that the value of 101.5 received in one year is 98.5 1.4707 = 97.0293 so that the one-year discount factor is 97.0293/101.5 = 0.955953.

老师您好,不理解这道题,麻烦再讲解一下

1 个答案

袁园_品职助教 · 2020年05月17日

同学你好!

这道题目要用到上一道题目的数据,我这里看不到上一道题目。

但是主要思路还是很清晰的,就是债券价格是未来现金流的折现,所以 98.5 = 1.5 * 6个月的discount factor + 101.5 * 一年的discount factor,这里要求一年的 discount factor = (98.5 - 1.5 * 6个月的discount factor)/101.5