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阿然斯基 · 2021年07月04日

问一道题:NO.PZ201712110200000203 第3小题 [ CFA II ]

* 问题详情,请 查看题干

问题如下:

Based on Exhibits 3 and 4, the value of Bond C at the upper node at Time 1 is closest to:

选项:

A.

97.1957

B.

99.6255

C.

102.1255

解释:

B is correct. The bond value at the upper node at Time 1 is closest to 99.6255. The cash flow at Time 2 is 102.5, the redemption of par value (100) plus the final coupon payment (2.5). Using backward induction, we calculate the present value of the bond at the upper node of Time 1 as 102.5/1.028853 = 99.6255.

看了大家提问的解析,还是没看懂这里为什么不加上2.5的coupon,如果不单列,也不用加上是吧。
2 个答案

WallE_品职答疑助手 · 2021年10月09日

嗨,爱思考的PZer你好:


不用,你往前面折现的时候才需要加上coupon。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

WallE_品职答疑助手 · 2021年07月07日

嗨,从没放弃的小努力你好:


加上了呀,100是本金 2.5是coupon, 折现率用2.8853% (第二年往第一年折现用TIME1的利率,这个债券C是2年期的,time2的折现率没有用)

折现求得102.5/1.028853 = 99.6255.

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

8527 · 2021年10月09日

那第一时间点的coupon不需要加吗? 请老师说明一下这种情况求value要不要加呢。

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NO.PZ201712110200000203 问题如下 Baseon Exhibits 3 an4, the value of BonC the upper no Time 1 is closest to: A.97.1957 B.99.6255 C.102.1255 B is correct. The bonvalue the upper no Time 1 is closest to 99.6255. The cash flow Time 2 is 102.5, the remption of pvalue (100) plus the fincoupon payment (2.5). Using backwarinction, we calculate the present value of the bonthe upper no of Time 1 102.5/1.028853 = 99.6255. 为啥value不用加coupon, 也可以是time 1付息前的价值啊

2024-07-28 18:05 1 · 回答

NO.PZ201712110200000203问题如下Baseon Exhibits 3 an4, the value of BonC the upper no Time 1 is closest to:A.97.1957B.99.6255C.102.1255B is correct. The bonvalue the upper no Time 1 is closest to 99.6255. The cash flow Time 2 is 102.5, the remption of pvalue (100) plus the fincoupon payment (2.5). Using backwarinction, we calculate the present value of the bonthe upper no of Time 1 102.5/1.028853 = 99.6255.我算出来的是99.9292,跟答案小数差了一点

2023-03-21 16:12 1 · 回答

NO.PZ201712110200000203 问题如下 Baseon Exhibits 3 an4, the value of BonC the upper no Time 1 is closest to: A.97.1957 B.99.6255 C.102.1255 B is correct. The bonvalue the upper no Time 1 is closest to 99.6255. The cash flow Time 2 is 102.5, the remption of pvalue (100) plus the fincoupon payment (2.5). Using backwarinction, we calculate the present value of the bonthe upper no of Time 1 102.5/1.028853 = 99.6255. 请问这个两年的二叉树,拿到coupon+par的这一年是第二年吗? 我一直以为两年的二叉树是time 0, time 1, time2, 然后time 2之后拿到coupon+par,再用time 2 的利率开始折。

2022-08-20 09:03 1 · 回答

99.6255 102.1255 B is correct. The bonvalue the upper no Time 1 is closest to 99.6255. The cash flow Time 2 is 102.5, the remption of pvalue (100) plus the fincoupon payment (2.5). Using backwarinction, we calculate the present value of the bonthe upper no of Time 1 102.5/1.028853 = 99.6255.关于这一条是否加当期的coupon,我没有看懂老师们的解答,我没有在二叉树中看到单列的coupon,所以我这题会选择包含coupon的102.1255,感觉没有明白什么是单列的coupon?

2021-02-16 13:02 1 · 回答