李同学2019-03-13 13:49:03

03.单选题 已收藏 标记 纠错 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. 查看解析 上一题 下一题 正确答案C 您的答案B本题平均正确率：88% Valuation with spot rates难度：一般 推荐：      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 问：（1+SP1）(1+SP2)(1+SP3)=(1+YTM)³，这里存在这样的关系吗，如果存在，B感觉是对的啊？