NO.PZ2018062006000111
问题如下:
A client purchases a 6-year bond at par, and the coupon rate is 8%. The interest is paid annually. If the client wants to sell the bond at the end of the 5th year, and the market interest rate is 7% at that time. Calculate the capital gain or loss:
选项:
A.-0.935
B.0.935
C.0
解释:
B is correct.
The sell price of the bond at the end of the fifth-year: N=1, I/Y=7, PMT=8, FV=100, PV= -100.935
Because the bond was purchased at the par value, the carrying value of the bond is 100.
So the capital gain is: 100.935 - 100 = 0.935
老师这道题是未来现金流折现求和-carry-value(即面值),这道题和求horizon-yield(持有期收益率)相比,是两回事,是吗?一个是未来现金流折现求和减去面值(即carry-value),一个是用前几年的coupon的fv+本金就剩余年份的折现求和?