李同学2019-03-14 12:17:01

02.单选题 已收藏 标记 纠错 Given the following forward rates, the value of a 4-year, 11% annual pay, $1,000 par bond, is closest to: Year Rate 0y1y 7% 1y1y 8.15% 2y1y 10.3% 3y1y 12.00% Note that the year 1 rate is the current rate (or spot rate) on a 1-year security. A $1,052.63. B $984.25. C $1,060.36. 查看解析 上一题 下一题 正确答案C 您的答案A本题平均正确率：40% Forward rates难度：一般 推荐：      答案解析 Spot Rates: Year 1 = 7%. Bond Value: N = 1; FV = 110; I/Y = 7; CPT → PV = 102.80 N = 2; FV = 110; I/Y = 7.57; CPT → PV = 95.06 N = 3; FV = 110; I/Y = 8.48; CPT → PV = 86.17 N = 4; FV = 1,110; I/Y = 9.35; CPT → PV = 776.33 102.80 + 95.06 + 86.17 + 776.33 = 1,060.36 问：我用（1+S1）*（1+1y1y）*（1+2y1y）*（1+3y1y）=（1=r）四次方，然后求出r,在用计算器第三排直接一步算的PV，结果是：1053.20和A比较接近，这样做可以吗