57.
A three-year option-free bond with a 9 percent annual coupon rate has a yield to maturity of 9 percent. One-year and two-year spot rates are 6.5 percent and 7.0 percent, respectively. The three-year spot rate is closest to:
Select exactly 1 answers from the following:
A. 6.4%. B. 8.1%. C. 9.0%. D. 9.2%.
答案和详解如下！
Feedback: Correct answer: D
Fixed Income Analysis for the Chartered Financial Analyst Program, 2nd edition, Frank J. Fabozzi (Frank J. Fabozzi Associates, 2004), pp. 178?83 2006 Modular Level I, Vol. IV, pp. 191-196 Study Session 15-67-h explain and illustrate the relationship between short-term forward rates and spot rates, and compute spot rates given forward rates, and forward rates given spot rates
The sum of the present values of the coupon payments in years one and two is $163.12. The present value of the final coupon payment and the maturity value is $836.88. If Z is the three-year spot rate: $1,090 / (1 + Z)3 = $836.88 Z = 0.0921 or 9.21%.
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发表于 2006-11-21 12:30
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