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[教材、Notes、资料] 关于固定收益notes的P122页的几道题,主要是算EAY和BEY的~~~~~~

题一、An analyst observes a Widget&CO. 7.125%,4-year,semiannual-pay bond trading at 102.347% of par(where par=$1000). The bond is callable at 1010 in two years,and putable at 1000 in two years.

 

问题:

1、what is the bond's yield to call

notes后面的解答为:N=4, FV=1010,PMT=35.625,PV=-1023.47,用计算器算出I/Y=3.167*2=6.334%

 

可是这个债券是半年一付息,所以应该是用N=8来算阿??

 

题二、An analyst determines that the cash flow yield of GNMA Pool 3856 is 0.382% per month.what is the bond equivalent yield?

notes后面的解答为:[(1+0.382%)的六次方-1]*2=4.628%

可是如果用(1+0.382%)的12次方-1=4.68%这样来算行不行呢?

Q1, note "the bond is callable at 1010 in TWO years" which means the call option of the bond will be last called by the end of year two, therefore, you got max 4 payment during the lifetime of the call

 

Q2, I dont know it either. I would guess GNMA pool paying coupons/payments bi-monthly?

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BEY的算法是先算出半年的yield然后乘以2. 不能直接用12次方

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