NO.PZ2016031002000026
问题如下:
A Benedict&Co. 8%, semiannual-pay, 4-year bond trading at 103% of par ($1,000). The bond is callable in two years at 101.5%. What is the bond's yield-to-call?
选项:
A.3.538%.
B.5.664%.
C.7.076%.
解释:
C is correct.
考点:YTC
解析:题干中 trading at 103% of par ($1,000),说明债券的现值是1000×103%=1030.
The bond is callable in two years at 101.5%,说明两年后以1000×101.5%=1015赎回,即FV=1015
利用计算器,N=4; FV=1,015; PMT=(1,000×8%)/2=40; PV=1,000×(-103%)= -1,030; CPT→I/Y=3.5382x 2= 7.076%. 故选项C正确。
对于callable bond(含有不利因素)
半年付息
N=4*2=8【为什么答案是4,而不是8??】
PMT=1000*8%/2=40
PV=-103%*1000=-1030
两年后被赎回call price = FV=1000 * 101.5%=1015
计算I/Y=3.72
含权收益YTM= 2* I/Y=7.44