问题如下:
Hsu also selects the two floating-rate bonds issued by Varlep, plc given in Exhibit below. These bonds have a maturity of three years and the same credit rating.
To value Varlep’s bonds, Hsu constructs the binomial interest rate tree provided below:
The value of Bond #8 is closest to:
选项:
A.98.116% of par.
B.100.000% of par.
C.100.485% of par.
解释:
C is correct.
考点:使用二叉树对浮动利率债券进行估值
解析:
题干要求是对Bond 8进行估值,注意Bond 8是一个具有利率底(Floored at 3.50%)的浮动利率债券,当Coupon低于3.50%时,Coupon需要调整到3.50.
如下图所示,Year 1由浮动利率决定的Coupon为3.00,但是由于存在利率底,所以取不到3.00,需要将Coupon调整到3.50。
老师请问,万一这题有给coupon=5%呢?就不再是按照题目的二叉树的利率进行计算coupon了,对吧?如何区分哪种情况用二叉树的利率算coupon, 哪种情况用题干给出的coupon rate算coupon?