NO.PZ2018123101000062
问题如下:
Bond D is a 3-year annual pay bond with a coupon rate of 3%.
Alvarez calculates the possible interest rate paths for Bond D shown in the Exhibit below.
Based on the Exhibit, the present value of Bond D’s cash flows following Path 2 is closest to:
选项:
A.97.0322.
B.102.8607.
C.105.8607.
解释:
B is correct.
考点:Interest rate path的理解
解析:
题干给出了4条不同的利率路径,现在需要计算的是在利率路径2下,债券D的价值;利率路径给定的是在不同时间节点的远期利率1-year forward rate,因此我们直接应用远期利率1-year forward rate对债券进行折现;
不知道在什么情况下需要把几个rates相乘算 还是直接用题目给的利率算?