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Angela · 2021年04月01日

year3 这列的三个数字是怎么算出来的?

NO.PZ2018123101000078

问题如下:

Hsu also selects the two floating-rate bonds issued by Varlep, plc given in the table 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 in the exhibit below:

The value of Bond #7 is to:

选项:

A.

99.697% of par.

B.

99.936% of par.

C.

101.153% of par.

解释:

A is correct.

考点:利用二叉树模型对浮动利率债券进行估值

解析:

注意因为Bond 7具有利率顶(Capped at 5.00%),所以高于5的coupon是取不到了,因此高于5的Coupon需要调整到5。如下图红色所示:

year3 这列的三个数字是怎么算出来的?

1 个答案
已采纳答案

WallE_品职答疑助手 · 2021年04月02日

嗨,爱思考的PZer你好:


These bonds have a maturity of three years ,说明bond7也是3年期的债券,债券在第三年到期的时候会有coupon和本金,而bond 7的coupon capped在5%

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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