Yuanzi · 2021年08月30日

为什么要用到Year 2的二叉树

1. CFA II
2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201602270200002105

问题如下：

5. The value of Bond #7 is closest to:

选项：

A.

99.697% of par.

B.

99.936% of par.

C.

101.153% of par.

解释：

A is correct.

:

S= Interest Rate Scenario

C=Cash Flow (% of par) (the effect of the cap is shown in italics)

R=One-year Interest rate (%)

V= Value of the Callable Bond’s Future Cash Flows (% of par)

老师好，

因为题目中的bond7是one year Libor bond, 二叉树不是只用到第一年的就可以了嘛？往前折两次。