NO.PZ2016031001000093
问题如下:
A corporate bond offers a 5% coupon rate and has exactly 3 years remaining to maturity. Interest is paid annually. The following rates are from the benchmark spot curve:
The bond is currently trading at a Z-spread of 234 basis points. The value of the bond is closest to:
选项:
A.92.38.
B.98.35.
C.106.56.
解释:
A is correct.
The value of the bond is closest to 92.38. The calculation is:
考点:bond valuation
解析:由于本题给了Z-spread,所以要在各年的Spot rate基础上再加上Z-spread,才是这只债券现金流的对应折现率。第一年现金流(5)用折现率(7.2%)折现,第二年现金流(5)用折现率(7.29%)折现,第三年现金流(5+100)用折现率(7.99%)折现,通过现金流折现求和,可得债券价格为92.38,故选项A正确。
为什么第二年的利率是不是第一年的利率乘以第二年的利率?而是第二年利率的平方?