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sarasara · 2020年07月25日

问一道题：NO.PZ2016031001000003 [ CFA I ]

  1. CFA I
  2. Fixed Income

问题如下：

A company has issued a floating-rate note with a coupon rate equal to the three-month Libor + 65 basis points. Interest payments are made quarterly on 31 March, 30 June, 30 September, and 31 December. On 31 March and 30 June, the three-month Libor is 1.55% and 1.35%, respectively. The coupon rate for the interest payment made on 30 June is:

选项：

A.

2.20%.

B.

2.10%.

C.

2.00%.

解释：

A is correct.

The coupon rate that applies to the interest payment due on 30 June is based on the three-month Libor rate prevailing on 31 March. Thus, the coupon rate is 1.55% + 0.65% = 2.20%.

这道题还没看懂。总觉得结果是2%。如何看出要加上的是reference rate? 

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1 个答案

吴昊_品职助教 · 2020年07月25日

同学你好：

现在要我们求的是6月30日支付的利息，每一期的利息都是在期初决定的，所以6月30日的利息是在3月31日确定的，而3月31日的三个月libor是1.55%，所以我们在1.55%的基础上加上0.65%，故而得到2.2%。

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2023-09-11 12:08 1 · 回答

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2022-10-31 16:14 1 · 回答

请问如何看出是用上一个季度的利率？

2020-09-19 02:27 1 · 回答

我不太明白，为什么这里不用除以4？三个月计息，可是这些都是年化利率啊

2020-02-29 17:53 1 · 回答