NO.PZ2018123101000054
问题如下：
A fixed income analyst, Tam, is identifying three mispriced 3-year annual-pay bonds (see Exhibit 1).
Here are two methods to calculate the bond price:
Method 1: Discount each year’s cash flow separately using the appropriate interest rate curve.
Method 2: Build and use a binomial interest rate tree to calculate bond price.
If method 1 is used to calculate these 3 bonds shown below, which bond is most likely to be price by an inappropriate valuation technique?
选项：
A.bond H
B.bond L
C.bond P
解释：
B is correct.
考点：含权债券的定价
解析：L债券是一个含权债券。而Method 1适合于对不含权债券进行无套利估值; 但是，对于含权债券，未来利率的变化会影响期权的行权，从而未来的现金流就会不确定。因此对于含权债券的定价需要用二叉树模型。
Method 1: Discount each year’s cash flow separately using the appropriate interest rate curve.
1.这里说的每一年的现金流分别用适当的利率去折现，这样听起来像是每笔现金流用spot rate去折现求现值然后加总对吗？
2.因为其实如果用合适的interest rate curve，用forward rate 去折现，对比，其实方法1和方法2又好像没啥区别了？
