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Hcying🌬 · 2022年12月06日

计算出I/Y=5.31%以后,求YTM

NO.PZ2016021705000022

问题如下:

Dot.Com has determined that it could issue $1,000 face value bonds with an 8 percent coupon paid semi-annually and a five-year maturity at $900 per bond. If Dot.Coms marginal tax rate is 38 percent, its after-tax cost of debt is closest to:

选项:

A.

6.2 percent.

B.

6.4 percent.

C.

6.6 percent.

解释:

C is correct.

FV = $1,000; PMT = $40; N = 10; PV = -$900

Solve for i. The six-month yield, i, is 5.3149%

YTM = 5.3149% × 2 = 10.62985%

r d (1t) = 10.62985%(10.38) = 6.5905% rd(1 − t) = 10.62985%(1 − 0.38) = 6.5905%

为什么不是YTM=(1+I/Y)^2-1呢?
2 个答案

王琛_品职助教 · 2022年12月11日

嗨,从没放弃的小努力你好:


为啥按单利算不是复利呢

可以认为是惯例

其实关于 YTM,主要是在固收学科介绍的,如果同学还有疑问,可以参考固收学科基础班第三章 LM3 Introduction to Fixed-Income valuation 的第一个视频:Bond Pricing with a Market Discount Rate and Yield to Maturity (YTM)

何老师专门有提到,关于利率的处理,如果一年的年化是 6%,半年付息一次的话,半年就是 3%,直接用一年的利率除以 2 即可,不用再考虑货币的时间价值等

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王琛_品职助教 · 2022年12月08日

嗨,爱思考的PZer你好:


因为是按照「单」利,而不是复利处理哈

所以半年付息一次的话,计算出来的折现率,要乘以 2,即得到 YTM

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

Hcying🌬 · 2022年12月08日

为啥按单利算不是复利呢

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