_ Hygge · 2021年03月18日
NO.PZ2020012005000013
问题如下：
The cash price of a bond is USD 90. It is expected to provide a coupon of USD 3 in six months and 12 months. The risk-free rate for all maturities is 5% per year (with annual compounding). What is the 15-month forward price of the bond?
选项：
解释：
The present value of the income (USD) is
The forward price of the bond is
老师我用计算器PMT算折现 结果和答案不太一样 我记得计算机算有什么前提条件肯定这道题不满足 您可以指点一下吗?谢谢老师
NO.PZ2020012005000013 问题如下 The cash priof a bonis US90. It is expecteto provi a coupon of US3 in six months an12 months. The risk-free rate for all maturities is 5% per ye(with annucompounng). Whis the 15-month forwarpriof the bon The present value of the income (US is 3/1.050.5+3/1.05=5.7853/1.05^{0.5} + 3/1.05 = 5.7853/1.050.5+3/1.05=5.785The forwarpriof the bonis (90−5.785)∗1.051.25=89.51(90 - 5.785) * 1.05^{1.25} = 89.51(90−5.785)∗1.051.25=89.51 折现为什么不是3/(1+5%/2)^0.5*2+3/(1+5%/2)^1*2
NO.PZ2020012005000013 如（1+r）^t,用e^rt替换是否也可以，两者是否可以互换？什么时候不能互换着用？
provi coupon是收到coupon的意思?
老师这题不太理解
