折现的时候都是用期初利率去折现吗？

NO.PZ2020033001000092 问题如下 A CMT (Constant Maturity Treasury) swha payoff of ($50,000/2) x ( ycmty_{cmt}ycmt​ - 8%) every six months. Binomitree is constructewith initiycmty_{cmt}ycmt​ of 8%. In the next 6 months, interest rate wouleither have a 60% probability of increasing to 8.6% or crease to 7.4%. If the interest rate raises, it woulhave a 50% probability of increasing to 9.2% or crease to 8% in the after 6 months. If the interest rate ops, it woulhave a 50% probability of increasing to 8% or crease to 6.8% in the after 6 months. Whis the value of this CMT swap? A.$56.18 B.$27.34 C.$28.58 $0 A is correct.考点Binomitree解析在第二个6月，Ycmt有三种可能9.2%，8.0%，6.8%。当利率为9.2%， Price=50,000/2*(9.2%-8.0%)=300当利率为8.0%， Price=50,000/2*(8.0%-8.0%)=0当利率为6.8%，Price=50,000/2*(6.8%-8.0%)=-300.接下来再计算第一个6月的价格，此时Ycmt有两种可能8.6%，7.4%。当利率为8.6%， Price=50,000/2*(8.6%-8.0%)+(300*0.5+0*0.5)/(1+8.6%/2)=293.82当利率为7.4%， Price=50,000/2*(7.4%-8.0%)+(0*0.5-300*0.5)/(1+7.4%/2)=-294.65最后计算CMT swvalue=(293.82*0.6-294.65*0.4)/(1+8.0%/2)=56.18因此选 这个题的解题思路如何理解呢，为什么用cmt算每个时期的现金流

NO.PZ2020033001000092问题如下 A CMT (Constant Maturity Treasury) swha payoff of ($50,000/2) x ( ycmty_{cmt}ycmt​ - 8%) every six months. Binomitree is constructewith initiycmty_{cmt}ycmt​ of 8%. In the next 6 months, interest rate wouleither have a 60% probability of increasing to 8.6% or crease to 7.4%. If the interest rate raises, it woulhave a 50% probability of increasing to 9.2% or crease to 8% in the after 6 months. If the interest rate ops, it woulhave a 50% probability of increasing to 8% or crease to 6.8% in the after 6 months. Whis the value of this CMT swap? A.$56.18B.$27.34C.$28.58$0 A is correct.考点Binomitree解析在第二个6月，Ycmt有三种可能9.2%，8.0%，6.8%。当利率为9.2%， Price=50,000/2*(9.2%-8.0%)=300当利率为8.0%， Price=50,000/2*(8.0%-8.0%)=0当利率为6.8%，Price=50,000/2*(6.8%-8.0%)=-300.接下来再计算第一个6月的价格，此时Ycmt有两种可能8.6%，7.4%。当利率为8.6%， Price=50,000/2*(8.6%-8.0%)+(300*0.5+0*0.5)/(1+8.6%/2)=293.82当利率为7.4%， Price=50,000/2*(7.4%-8.0%)+(0*0.5-300*0.5)/(1+7.4%/2)=-294.65最后计算CMT swvalue=(293.82*0.6-294.65*0.4)/(1+8.0%/2)=56.18因此选A 此题需要求什么？根据给出的解答，价格是什么的价格？价格和swvalue有什么关系呢？不知道求什么价格，和swap如何联系？谢谢

NO.PZ2020033001000092 $27.34 $28.58 $0 A is correct. 考点Binomitree 解析 在第二个6月，Ycmt有三种可能9.2%，8.0%，6.8%。 当利率为9.2%， Price=50,000/2*(9.2%-8.0%)=300 当利率为8.0%， Price=50,000/2*(8.0%-8.0%)=0 当利率为6.8%，Price=50,000/2*(6.8%-8.0%)=-300. 接下来再计算第一个6月的价格，此时Ycmt有两种可能8.6%，7.4%。 当利率为8.6%， Price=50,000/2*(8.6%-8.0%)+(300*0.5+0*0.5)/(1+8.6%/2)=293.82 当利率为7.4%， Price=50,000/2*(7.4%-8.0%)+(0*0.5-300*0.5)/(1+7.4%/2)=-294.65 最后计算CMT swvalue=(293.82*0.6-294.65*0.4)/(1+8.0%/2)=56.18 因此选A 老师这道题的第一个6月是将第一个6月时间点的net cash flow+第二个6月得到的现金流折现过来的价值相加，再往0时点折现是这个逻辑吗

NO.PZ2020033001000092 第一步明白，然后去到第二步，不明白为什么要用1+8.6%/2的利率来折算，为什么不用8.6%-8%利率来折算？