问一道题：NO.PZ201812310200000104

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问题如下：

The market price of bond B2 is1,090. If the bond is purchased at this price and there is a default on Date 3, the rate of return to the bond buyer would be closest to:

选项：

–28.38%.

–41.72%.

–69.49%.

解释：

A is correct. If default occurs on Date 3, the rate of return can be obtained by solving the following equation for internal rate of return (IRR):

$1090 = \frac{60}{1 + I R R} + \frac{60}{{(1 + I R R)}^{2}} + \frac{326.74}{{(1 + I R R)}^{3}}$

In this equation, €60 is the amount of coupon received at Dates 1 and 2 prior to default at Date 3. The amount €326.74 is the recovery at Time 3 (from the CVA table in the solution to the previous question). The solution to the foregoing equation can be obtained using the cash flow IRR function on your calculator.

为什么这道题要用 IRR 算 rate of return，而不是 ending price/ beginning price -1?

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1 个答案

WallE_品职答疑助手 · 2020年06月28日

这一题都夸了3年期了，这是常规的求return的方法，而ending price/ beginning price -1是计算Holding period return的方法，并没有考虑复利。

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问一道题：NO.PZ201812310200000104

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