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- 2011-7-11
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- 2013-8-23
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3#
发表于 2011-7-11 18:26
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Since most bonds are SEMI ANNUAL pay, if you are asked to compute the arbitrage valuation they will give you 6 month, 12 month, 18 month, 24 month spots but they will probably be annualized. You should divide em by 2, and use the appropriate discount factor to discount all the coupons and principal + final coupon.
If you are only given annualized rates, and the bond is an annual pay, then just discount each coupon by the corresponding spot, don't have to divide by 2 or anything. |
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