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

guo · 2021年11月18日

想问一下这个条件是为了什么呢

NO.PZ2019103001000002

问题如下:

Cécile Perreaux is a junior analyst for an international wealth management firm. Her supervisor, Margit Daasvand, asks Perreaux to evaluate three fixed-income funds as part of the firm’s global fixed-income offerings. Selected financial data for the funds Aschel, Permot, and Rosaiso are presented in Exhibit 1. In Perreaux’s initial review, she assumes that there is no reinvestment income and that the yield curve remains unchanged.


Based on Exhibit 1, the rolling yield of Aschel over a one-year investment horizon is closest to:

选项:

A.

–2.56%

B.

0.54%

C.

5.66%.

解释:

B is correct.

The rolling yield is the sum of the yield income and the rolldown return. Yield income is the sum of the bond’s annual current yield and interest on reinvestment income. Perreaux assumes that there is no reinvestment income for any of the three funds, and the yield income for Aschel will be calculated as follows:

Yield income = Annual average coupon payment/Current bond price

= $3.63/$117.00

= 0.0310, or 3.10%.

The rolldown return is equal to the bond’s percentage price change assuming an unchanged yield curve over the horizon period. The rolldown return will be calculated as follows:

Rolldown return = (Ending Bond Price - Beginning Bond Price) / Beginning Bond Price

=(114.00-117.00)/ 117.00

=-0.0256 OR -2.56%

Rolling yield = Yield income + Rolldown return = 3.10% – 2.56% = 0.54%

she assumes that there is no reinvestment income and that the yield curve remains unchanged

请问这个条件的目的是什么呀?

1 个答案

pzqa015 · 2021年11月19日

嗨,努力学习的PZer你好:


no reinvestment income是计算yield income的假设,即,yield income=coupon/p,不考虑coupon的在投资收益。

yield curve remains unchanged是告诉我们expected return五分解的第三项△P/P=-MD*△y+0.5*C*(△y)^2用不上,但第三项本身跟本题要求计算的rolling yield也无关。


----------------------------------------------
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
  • 0

    关注
  • 2740

    浏览
相关问题