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,既然对于含有floor的浮动利率债券来说,每一期的coupon rate都是由上一期的利率决定的,如果上一期的利率低于了floor,我们要调整coupon rate至floor rate。那么100.485是怎么求出来的?需要折现来求吗,如果需要的话是用什么利率折现?