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?