开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

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？

添加评论
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。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 1

    关注

  • 1457

    浏览
相关问题

NO.PZ2018123101000018 问题如下 Jane is a bontrar for investment bank. Exhibit 1 presents the current panspot rates. Note: Panspot rates are baseon annual-coupon sovereign bon. Baseon Exhibit 1, the five-yespot rate is closest to: 4.40% 4.45% 4.50% B is correct.考点The SwRate 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Swrate，根据由Swrate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)^5S5=4.45% 答案中的公式1（pvalue)=coupon(0.045)除每年的折现率加总，那意思就是国债是不归还本金的，国债的par就只是每年的coupon折现求和是吗？

2024-09-06 10:44 1 · 回答

NO.PZ2018123101000018 问题如下 Jane is a bontrar for investment bank. Exhibit 1 presents the current panspot rates. Note: Panspot rates are baseon annual-coupon sovereign bon. Baseon Exhibit 1, the five-yespot rate is closest to: 4.40% 4.45% 4.50% B is correct.考点The SwRate 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Swrate，根据由Swrate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)^5S5=4.45% 分子，现金流，利息，为什么都等于0.0437？相当于所有现金流，都用了第5年的prate？为啥分子现金流，不是根据每年PR

2024-01-22 18:08 1 · 回答

NO.PZ2018123101000018问题如下 Jane is a bontrar for investment bank. Exhibit 1 presents the current panspot rates. Note: Panspot rates are baseon annual-coupon sovereign bon. Baseon Exhibit 1, the five-yespot rate is closest to: 4.40% 4.45% 4.50% B is correct.考点The SwRate 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Swrate，根据由Swrate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)^5S5=4.45% 题目解答为什么强调是swrate与spot rate的关系，难道不是prate与spot rate的关系做boot strapping吗？

2023-03-16 12:48 1 · 回答

NO.PZ2018123101000018 式子的左边等于1是什么原理？如果考试考的话会怎么考（这个等于1的理论）？

2022-01-17 20:00 1 · 回答

NO.PZ2018123101000018 考试时是保留2位还是4位？

2021-06-29 07:26 1 · 回答