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

hyi725 · 2021年08月15日

请问公式在哪个知识点？

  1. CFA II
  2. Fixed Income

NO.PZ2016022702000007

问题如下：

A one-year zero-coupon bond yields 4.0%. The two- and three-year zero-coupon bonds yield 5.0% and 6.0% respectively.

The five-year spot rate is not given above; however, the forward price for a two-year zero-coupon bond beginning in three years is known to be 0.8479. The price today of a five-year zero-coupon bond is closest to:

选项：

A.

0.7119.

B.

0.7835.

C.

0.9524.

解释：

A is correct.

1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396

The forward pricing model can be used to find the price of the five-year zero as

P(T*+T)=P(T*)F(T*,T), SO P(5)=P(3)F(3,2)= 0.8396 x 0.8479 = 0.7119.

考点：forward pricing model

首先将即期利率转化成即期价格P(3)= 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396。通过forward pricing model得到五年期零息债券的价格，即P(T*+T)=P(T*)F(T*,T)，所以P(5)=P(3)×F(3,2)=0.8396×0.8479=0.7119。

P(3)=1/[(1+S3)^3]=1/(1.06)^3=0.8396

为什么要这么算？


具体在哪个视频里有讲解？

添加评论
1 个答案

WallE_品职答疑助手 · 2021年08月17日

嗨，从没放弃的小努力你好：


基础班讲义18页 forward pricing model


通过spot rate和forward rate之间的关系可以得知：[(1+S3)^3]*[1+f(3,2)]^2=(1+S5)^5，然后我们等号两边取倒数，就得到P(3)*F(3,2)=P(5)。其中题目中给出已知条件是F(3,2)=0.8479，P(3)=1/[(1+S3)^3]=1/(1.06)^3=0.8396。所以就能求得P(5)=0.7119


您也你可以去听一下课件。

----------------------------------------------
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

  • 605

    浏览
相关问题

NO.PZ2016022702000007 问题如下 A one-yezero-coupon bonyiel 4.0%. The two- anthree-yezero-coupon bon yiel5.0% an6.0% respectively.The five-yespot rate is not given above; however, the forwarprifor a two-yezero-coupon bonbeginning in three years is known to 0.8479. The pritoy of a five-yezero-coupon bonis closest to: A.0.7119. B.0.7835. C.0.9524. A is correct. 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31​=0.8396The forwarpricing mol cuseto finthe priof the five-yezero P(T*+T)=P(T*)F(T*,T), SO P(5)=P(3)F(3,2)= 0.8396 x 0.8479 = 0.7119.考点forwarpricing mol首先将即期利率转化成即期价格P(3)= 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31​=0.8396。通过forwarpricing mol得到五年期零息债券的价格，即P(T*+T)=P(T*)F(T*,T)，所以P(5)=P(3)×F(3,2)=0.8396×0.8479=0.7119。 如题

2024-07-19 16:33 1 · 回答

NO.PZ2016022702000007问题如下 A one-yezero-coupon bonyiel 4.0%. The two- anthree-yezero-coupon bon yiel5.0% an6.0% respectively.The five-yespot rate is not given above; however, the forwarprifor a two-yezero-coupon bonbeginning in three years is known to 0.8479. The pritoy of a five-yezero-coupon bonis closest to: A.0.7119.B.0.7835.C.0.9524. A is correct. 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31​=0.8396The forwarpricing mol cuseto finthe priof the five-yezero P(T*+T)=P(T*)F(T*,T), SO P(5)=P(3)F(3,2)= 0.8396 x 0.8479 = 0.7119.考点forwarpricing mol首先将即期利率转化成即期价格P(3)= 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31​=0.8396。通过forwarpricing mol得到五年期零息债券的价格，即P(T*+T)=P(T*)F(T*,T)，所以P(5)=P(3)×F(3,2)=0.8396×0.8479=0.7119。 P3的正确理解方法应该是，n＝3，I/Y＝6，FV＝1，PMT＝0，求PV，我看了那些就没有说到点上的，不会的人还是理解不了说的是个啥，看我说的这个我相信没人会不懂。

2023-10-20 14:20 1 · 回答

NO.PZ2016022702000007 问题如下 A one-yezero-coupon bonyiel 4.0%. The two- anthree-yezero-coupon bon yiel5.0% an6.0% respectively.The five-yespot rate is not given above; however, the forwarprifor a two-yezero-coupon bonbeginning in three years is known to 0.8479. The pritoy of a five-yezero-coupon bonis closest to: A.0.7119. B.0.7835. C.0.9524. A is correct. 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31​=0.8396The forwarpricing mol cuseto finthe priof the five-yezero P(T*+T)=P(T*)F(T*,T), SO P(5)=P(3)F(3,2)= 0.8396 x 0.8479 = 0.7119.考点forwarpricing mol首先将即期利率转化成即期价格P(3)= 1(1.06)3=0.8396\frac1{{(1.06)}^3}=0.8396(1.06)31​=0.8396。通过forwarpricing mol得到五年期零息债券的价格，即P(T*+T)=P(T*)F(T*,T)，所以P(5)=P(3)×F(3,2)=0.8396×0.8479=0.7119。 老师您好，我是这么算的第一步0.8479=1/f（3,2），得到f（3,2）=0.086第二步P0=1/（1.04*1.05*1.06*1.086*1.086），得到P=0.7325

2023-04-19 17:23 2 · 回答

NO.PZ2016022702000007 为什么 我先算出S5,用1/(1+S5)^5,算出来不是同一个呢？

2021-04-19 15:15 2 · 回答