A $1,000 par value, seminnual coupon bond with exactly two years to maturity and a coupon rate of 10 percent is selling for 976.45. Given the current U.S. Treasury spot rates given below and ignoring accured interest and transactions costs, the zero-volatility spread (static spread) for this bond is closet to:
Maturity Spot Rate (%)
Six months 6.00
Twelve months 7.50
Eighteen months 9.00
Twenty-four monts 10.00
答案是5/(1+(0.06+0.015)/2)+5/(1+(0.075+0.015)/2)^2+5/(1+(0.09+10.15)/2)^3+5/(1+(0.1+0.015)/2)^4
coupon不应该是50吗？为啥是5啊？
求助老师！ |
发表于 2013-9-14 00:21
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