NO.PZ2018122701000073
问题如下:
For a 2-year zero-coupon bond, the 1-year rate is expected to remain at 5% for the first year. For the second year, it is foretasted the that 1-year spot rate will be either 7% or 3% at equal probability of 50%. If you are asked to reflect the convexity effect for this 2-year bond by Jensen’s inequality formula, which of the following inequalities is the best answer?
选项:
A. $0.90736 > $0.90703.
B. $0.90703 > $0.90000.
C. $0.95238 > $0.90736.
D. $0.95273 > $0.95238
解释:
A is correct.
考点:Jensen's inequality formula
解析:
不等式左边
0.95273/1.05 = 0.90736
不等式右边
0.95238/1.05 = 0.90703
右侧 3%与7%平均是5% ,可否直接用5%作为第二年利率折现,这样更为简便