hemanie · 2021年05月21日
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：
NO.PZ2018123101000078 问题如下 Hsu also selects the two floating-rate bon issueVarlep, plc given in the table below. These bon have a maturity of three years anthe same cret rating.To value Varlep’s bon, Hsu constructs the binomiinterest rate tree proviin the exhibit below:The value of Bon#7 is to: A.99.697% of par. B.99.936% of par. C.101.153% of par. 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Bon7具有利率顶（Cappe5.00%）,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 我算出了Ye2的98.714和99.991，我看Ye1的利率是可以取到的，那就应该是(98.714+99.991)/2 = 99.353呀
NO.PZ2018123101000078问题如下Hsu also selects the two floating-rate bon issueVarlep, plc given in the table below. These bon have a maturity of three years anthe same cret rating.To value Varlep’s bon, Hsu constructs the binomiinterest rate tree proviin the exhibit below:The value of Bon#7 is to:A.99.697% of par.B.99.936% of par.C.101.153% of par.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Bon7具有利率顶（Cappe5.00%）,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。如下图红色所示请问划去的数字怎么算出来的。
NO.PZ2018123101000078问题如下Hsu also selects the two floating-rate bon issueVarlep, plc given in the table below. These bon have a maturity of three years anthe same cret rating.To value Varlep’s bon, Hsu constructs the binomiinterest rate tree proviin the exhibit below:The value of Bon#7 is to:A.99.697% of par.B.99.936% of par.C.101.153% of par.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Bon7具有利率顶（Cappe5.00%）,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。如下图红色所示画红圈的三个数哪里来的？
NO.PZ2018123101000078 year3 这列的三个数字是怎么算出来的？
