标题: 求助Fixed income原版书58第35题 [打印本页]

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作者: dcfox83    时间: 2013-9-14 00:21     标题: 求助Fixed income原版书58第35题

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！

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作者: apf陈老师    时间: 2013-9-14 00:38

原版书给出的计算过程中面值是按100来计算的，价格也是97.645，所以PMT是5而不是50
考试中很少会出现用试错法来计算Z-spread的题目

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