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Amochiq🍙 · 2021年05月11日

能完全按照按计算器的方式解一遍吗

NO.PZ2018062006000112

问题如下:

A client purchases a 6-year bond at 109.83, and the coupon rate is 8%. The interest is paid annually. Assume the market rate is 6%, which is constant during the whole period. If the client wants to sell the bond at the end of the 5th year. What`s the horizon yield?

选项:

A.

8%.

B.

6%.

C.

7%.

解释:

B is correct.

The sell price of the bond at the end of the 5th year:

N=1,I/Y=6,FV=100,PMT=8 → PV = -101.89

The reinvested coupon payment at the end of the 5th year:

8×1.064+8×1.063+8×1.062+8×1.061+8=45.1

total cash flow at the end of the 5th year =45.1+101.89=146.99

146.99/(1+r)5=109.83

r=0.06

能完全按照按计算器的方式解一遍吗

1 个答案

吴昊_品职助教 · 2021年05月11日

嗨,努力学习的PZer你好:


同学你好:

1、sell price:N=1,I/Y=6,FV=100,PMT=8 → PV = -101.89

2、再投资收入:N=5,I/Y=6,PV=0,PMT=8 → FV = 45.1

两者相加是146.99

(146.99/109.83)^0.2-1=6%

----------------------------------------------
努力的时光都是限量版,加油!

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NO.PZ2018062006000112 问题如下 A client purchases a 6-yebon109.83, anthe coupon rate is 8%. The interest is paiannually. Assume the market rate is 6%, whiis constant ring the whole perio If the client wants to sell the bonthe enof the 5th year. What`s the horizon yiel A.8%. B.6%. C.7%. B is correct.The sell priof the bonthe enof the 5th year:N=1,I/Y=6,FV=100,PMT=8 → PV = -101.89The reinvestecoupon payment the enof the 5th year:8×1.064+8×1.063+8×1.062+8×1.061+8=45.1totcash flow the enof the 5th ye=45.1+101.89=146.99146.99/(1+r)5=109.83r=0.06考点Horizon Yiel析第五年末的总现金流包含两个部分,第一个部分是6年债券在第五年末售出的sell price(101.89),第二个部分是前五期coupon的再投资收入(45.1)。可利用计算器1、sell priceN=1,I/Y=6,FV=100,PMT=8 → PV = -101.892、再投资收入N=5,I/Y=6,PV=0,PMT=8 → FV = 45.1两个部分加总起来是146.99。再对比一开始的初始投资109.83,得到 r=0.06,故B正确。 老师好,请问最后一步146.99/(1+r)5=109.83 为什么不能用计算器算?

2023-02-11 10:01 1 · 回答

NO.PZ2018062006000112 问题如下 A client purchases a 6-yebon109.83, anthe coupon rate is 8%. The interest is paiannually. Assume the market rate is 6%, whiis constant ring the whole perio If the client wants to sell the bonthe enof the 5th year. What`s the horizon yiel A.8%. B.6%. C.7%. B is correct.The sell priof the bonthe enof the 5th year:N=1,I/Y=6,FV=100,PMT=8 → PV = -101.89The reinvestecoupon payment the enof the 5th year:8×1.064+8×1.063+8×1.062+8×1.061+8=45.1totcash flow the enof the 5th ye=45.1+101.89=146.99146.99/(1+r)5=109.83r=0.06考点Horizon Yiel析第五年末的总现金流包含两个部分,第一个部分是6年债券在第五年末售出的sell price(101.89),第二个部分是前五期coupon的再投资收入(45.1)。可利用计算器1、sell priceN=1,I/Y=6,FV=100,PMT=8 → PV = -101.892、再投资收入N=5,I/Y=6,PV=0,PMT=8 → FV = 45.1两个部分加总起来是146.99。再对比一开始的初始投资109.83,得到 r=0.06,故B正确。 。

2023-02-10 00:46 1 · 回答

PV=100是怎么算出来的?是已知条件?

2021-01-22 15:12 1 · 回答

The sell price of the bonthe enof the 5th year: N=6-5=1,I/Y=6,FV=100,PMT=8 → PV = -101.89 红色部分需要 capitloss=101.89-109.83=-7.94 这个对否?不需要加上coupon吗?

2020-07-30 21:53 2 · 回答