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Stella · 2021年06月06日

有两个问题

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NO.PZ201701230200000203

问题如下:

3. In presenting Investment 2, Smith should show an annual return closest to:

选项:

A.

4.31%.

B.

5.42%.

C.

6.53%.

解释:

C is correct.

The swap spread is a common way to indicate credit spreads in a market. The four-year swap rate (fixed leg of an interest rate swap) can be used as an indication of the four-year corporate yield. Riding the yield curve by purchasing a four-year zero-coupon bond with a yield of 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)4 = 83.058]} and then selling it when it becomes a two-year zero-coupon bond with a yield of 3.00% {i.e., 2.70% +0.30%, [P2 = 100/(1 + 0.0300)2 = 94.260]} produces an annual return of 6.53%: (94.260/83.058)0.5 - 1.0 = 0.0653.

1. 能否详细解释下p2=83.58是怎么算出来的 2. 算return为何不能用(94.26-83.58)/83.58来算?
1 个答案

WallE_品职答疑助手 · 2021年06月06日

嗨,努力学习的PZer你好:


1.答案已经解释了哈

就是四年期的零息债券,前面三个时间点都是没有现金流的,我们只需要用到四年期的spot rate,再加上swap spread。4.05%+0.70%=4.75%。

然后用本金100去折现。最后得到 83.058。


2.你的算法是求的持有期收益率,您没有年化,答案的解释算的是年化的利率。

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努力的时光都是限量版,加油!

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NO.PZ201701230200000203问题如下3. In presenting Investment 2, Smith shoulshow annureturn closest to:A.4.31%.B.5.42%.C.6.53%.C is correct. The swspreis a common wto incate cret sprea in a market. The four-yeswrate (fixeleg of interest rate swap) cuseincation of the four-yecorporate yiel Ring the yielcurve purchasing a four-yezero-coupon bonwith a yielof 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)4 = 83.058]} anthen selling it when it becomes a two-yezero-coupon bonwith a yielof 3.00% {i.e., 2.70% +0.30%, [P2 = 100/(1 + 0.0300)2 = 94.260]} proces annureturn of 6.53%: (94.260/83.058)0.5 - 1.0 = 0.0653.所以ring the yiel赚的是extra coupon reinvestment return 吧?

2024-07-07 12:45 1 · 回答

NO.PZ201701230200000203问题如下 3. In presenting Investment 2, Smith shoulshow annureturn closest to:A.4.31%.B.5.42%.C.6.53%.C is correct. The swspreis a common wto incate cret sprea in a market. The four-yeswrate (fixeleg of interest rate swap) cuseincation of the four-yecorporate yiel Ring the yielcurve purchasing a four-yezero-coupon bonwith a yielof 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)4 = 83.058]} anthen selling it when it becomes a two-yezero-coupon bonwith a yielof 3.00% {i.e., 2.70% +0.30%, [P2 = 100/(1 + 0.0300)2 = 94.260]} proces annureturn of 6.53%: (94.260/83.058)0.5 - 1.0 = 0.0653.请问这里的P2 P4为什么不能用spot rate 一期期往前折 而是直接用了S2 S4

2024-04-17 21:00 1 · 回答

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NO.PZ201701230200000203 请问答案说的P4和P2分别是什么?如果是用骑乘策略,不应该是站在第2年末分别算出4年和2年零息债券的价格吗?

2022-01-27 14:45 1 · 回答

NO.PZ201701230200000203 (94.260/83.058)0.5 - 1.0 = 0.0653 不明白使用什么复利公式计算的,麻烦老师一下。

2021-09-10 00:26 1 · 回答