问题如下:
To value Bond C using the binomial tree in Exhibit 1. Exhibit 2 presents selected data for both bonds.
Based on Exhibits 1 and 2, the value of Bond C at the upper node at Time 1 is closest to:
选项:
A.97.1957.
B.99.6255.
C.102.1255.
解释:
B is correct.
考点:利用二叉树对债券进行定价
解析:
第二年年末债券的现金流为:102.5(100的本金+2.5的Coupon)
要计算第一年时间点,上面节点的债券价值,因此使用的是1-year forward rate是2.8853%;有公式 :
如题,请演算一次。