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开泰-王飞 · 2021年06月12日

解题思路没看懂

  1. CFA II
  2. Fixed Income

NO.PZ2018123101000018

问题如下：

Jane is a bond trader for an investment bank. Exhibit 1 presents the current par and spot rates.

Note: Par and spot rates are based on annual-coupon sovereign bonds.

Based on Exhibit 1, the five-year spot rate is closest to:

选项：

A.

4.40%

B.

4.45%

C.

4.50%

解释：

B is correct.

考点：The Swap Rate Curve和Spot rate的关系

解析：

已知1-year, 2-year, 3-year, 4-year的Spot rate，也知道5-year的Swap rate，根据由Swap rate求Spot rate的方法，有公式：

1=0.0437/(1.025)+0.0437/(1.03)^2+0.0437/(1.035)^3+0.0437/(1.04)^4+1.0437/(1+S5)^5

S5=4.45%

用par rate除spotrate是什么意思？

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1 个答案

WallE_品职答疑助手 · 2021年06月14日

嗨，爱思考的PZer你好：


解题思路就是要用给出的par rate去推spot rate。原理就是第一期的par 和spot 一样 一期一期的往后推。

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