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xxxxsdadas · 2022年01月20日

麻烦回答

NO.PZ2018123101000025

问题如下：

Smith gathers information on spot rates for on-the-run annual-coupon government securities and swap spreads, as presented in Exhibit below.

If Smith buys a government security, he would have an annualized return that is nearly risk free. Smith could show that under the no-arbitrage principle, the forward price of a one-year government bond to be issued in one year is closest to:

选项：

A.

0.9662

B.

0.9694

C.

0.9780

解释：

B is correct.

考点：考察Forward price概念

解析：由公式可求

$P(T^\ast+T)=P(T^\ast)F(T^\ast,T)$

$P(1)=\frac1{{(1+0.0225)}^1}$

$P(2)=\frac1{{(1+0.0270)}^2}$

$F(1,1)=\frac{P(2)}{P(1)}=\frac{0.9481}{0.9780}=0.9694$

这道题如果我算出了forward rate，求价格时为什么不是1/（1+f）后再除以（1+2.25%）来把价格折到零时刻呢？

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pzqa015 · 2022年01月20日

嗨，努力学习的PZer你好：

为什么要折现到零时刻呢

forward price of one year government bond to be issued in one year就是1/（1+f(1,1)），它是站在现在时刻，1年以后发行的1年期债券的远期合约的价格，所以，是不需要再继续折现哈，如果价格是t=1时刻的，那么是需要折现的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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xxxxsdadas · 2022年01月28日

这种表格的出现，都默认该bond是价格等于面值的bond是么

pzqa015 · 2022年01月28日

嗨，努力学习的PZer你好：

这种表格的出现，都默认该bond是价格等于面值的bond是么

这个表格，跟债券价格没关系哈，已知spot rate，用spot rate计算forward rate。

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努力的时光都是限量版，加油！

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