NO.PZ2016031001000063
问题如下:
An investor considers the purchase of a 2-year bond with a 5% coupon rate, with interest paid annually. Assuming the sequence of spot rates shown below, the price of the bond is closest to:
选项:
A.101.93.
B.102.85.
C.105.81.
解释:
A is correct.
The bond price is closest to 101.93. The price is determined in the following manner:
where:
PV = present value, or the price of the bond
PMT = coupon payment per period
FV = future value paid at maturity, or the par value of the bond
Z1= spot rate, or the zero-coupon yield, for Period 1
Z2= spot rate, or the zero-coupon yield, for Period 2
PV = 4.85 + 97.08 = 101.93
考点:Pricing Bonds with Spot Rates
解析:通过未来现金流折现求和,第一年的现金流(5)用S1折现,第二年的现金流(5+100)用S2折现,可得债券价格为101.93,故选项A正确。
面值100是哪里来的?