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kevinzhu · 2022年04月27日

The lowest yield to maturity and, correspondingly, the highest bond price.

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NO.PZ201712110200000202

问题如下:

Based on the data in Exhibit 2, the most profitable arbitrage opportunity would be to buy the bond in:

选项:

A.

Mumbai and sell it in Hong Kong.

B.

Hong Kong and sell it in New York.

C.

New York and sell it in Hong Kong.

解释:

B is correct.

Of the three markets, the New York bond has the lowest yield to maturity and, correspondingly, the highest bond price. Similarly, the Hong Kong bond has the highest yield to maturity and the lowest bond price of the three markets. Therefore, the most profitable arbitrage trade would be to buy the bond in Hong Kong and sell it in New York.

收益越低的债券,价格不是也应该越低吗?

1 个答案

pzqa015 · 2022年04月29日

嗨,爱思考的PZer你好:



债券价格公式为:P=∑c/(1+ytm)+(c+par)/(1+ytm)^n,债券价格P与ytm呈反向变动关系,

所以,ytm越大,代表价格被低估,要买入,ytm越小,代表价格被高估,要卖出。故选择B

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