李同學(xué)
2019-03-13 13:4903.單選題 已收藏 標(biāo)記 糾錯(cuò)
Current spot rates are as follows: 1-Year: 6.5% 2-Year: 7.0% 3-Year: 9.2% Which of the following is CORRECT :
A
For a 3-year annual pay coupon bond, all cash flows can be discounted at 9.2% to find the bond's arbitrage-free value.
B
The yield to maturity for 3-year annual pay coupon bond can be found by taking the geometric average of the 3 spot rates.
C
For a 3-year annual pay coupon bond, the first coupon can be discounted at 6.5%, the second coupon can be discounted at 7.0%, and the third coupon plus maturity value can be discounted at 9.2% to find the bond's arbitrage-free value.
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?正確答案C 您的答案B本題平均正確率：88%
?Valuation with spot rates難度：一般 推薦： ? ? ? ? ?
答案解析
Spot interest rates can be used to price coupon bonds by taking each individual cash flow and discounting it at the appropriate spot rate for that year’s payment. Note that the yield to maturity is the bond’s internal rate of return that eq
問(wèn)：（1+SP1）(1+SP2)(1+SP3)=(1+YTM)³，這里存在這樣的關(guān)系嗎，如果存在，B感覺(jué)是對(duì)的?。?/h3>
所屬：CFA Level I
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Sherry Xie助教
2019-03-13 16:42
該回答已被題主采納
不存在的，把spot rate 2和3 改成 forward rate 2和3 這個(gè)式子就成立了
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追問(wèn)
之前理解的一塌糊涂，重新說(shuō)一下，我又深想了一下。如圖：即使是（1+S1)(1+F2)(1+F3)=(1+S3),所以幾何平均求出來(lái)的只是S3，而S3也不是三年期的YTM吧？只能用每年的現(xiàn)金流對(duì)應(yīng)三年的S1 S2 S3用定義式求P0,然后N PV PMT FV(假設(shè)PMT已知，P0求已經(jīng)求出來(lái)了)，才能反過(guò)來(lái)求這個(gè)債券的YTM吧？
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追答
公式里面少了個(gè)三次方，（1+S1)(1+F2)(1+F3)=(1+S3)三次方
你的思路是對(duì)的。
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