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薛定谔的蝎子 · 2021年07月19日

Exhibit 4 的表呢,看不见了

* 问题详情,请 查看题干

NO.PZ201602270200001804

问题如下:

4. Based on the information in Exhibits 3 and 4, the bond price in euros at Node 1–2 in Exhibit 4 is closest to:

选项:

A.

105.2917.

B.

104.8640.

C.

102.7917.

解释:

C is correct.

The value of a bond at a particular node, in this case Node 1–2, can be derived by determining the present value of the coupon payment and expected future bond values to the right of that node on the tree. In this case, those two nodes are the middle node in Year 2, equal to 101.5168, and the lower node in Year 2, equal to 102.1350. The coupon payment is 2.5. The bond value at Node 1–2 is calculated as follows:

Value = 0.5 × [ (101.5186/1.014925 + 102.1350/1.014925) ] + 2.5/1.014925 = 102.7917.

这道题是不是少条件啊,看不到Exhibit 4具体的表

1 个答案

WallE_品职答疑助手 · 2021年07月20日

嗨,努力学习的PZer你好:


不少条件哈,这个二叉树就是Exhibit 4

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