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.
这道题哪里有说 bond 是 price at par? 那怎么知道coupon = 2.5%
