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wenxing · 2023年05月16日

请问326.74如何计算的,怎么算都算不对

* 问题详情,请 查看题干

NO.PZ201812310200000104

问题如下:

The market price of bond B2 is1,090. If the bond is purchased at this price and there is a default on Date 3, the rate of return to the bond buyer would be closest to:

选项:

A.

–28.38%.

B.

–41.72%.

C.

–69.49%.

解释:

A is correct. If default occurs on Date 3, the rate of return can be obtained by solving the following equation for internal rate of return (IRR):

1090= 60 1+IRR + 60 (1+IRR) 2 + 326.74 (1+IRR) 3

In this equation, €60 is the amount of coupon received at Dates 1 and 2 prior to default at Date 3. The amount €326.74 is the recovery at Time 3 (from the CVA table in the solution to the previous question). The solution to the foregoing equation can be obtained using the cash flow IRR function on your calculator.

如题!!!!!!!!!!!!!

𝒜𝒩𝒥𝒜 安雅🎃 · 2023年05月16日

债券在第三年的exposure是1089.1262(算法是最后一笔现金流折现至第三年 1060/(1+3%),再加上第三年当期coupon $60);接着,exposure at year 3 * recovery rate 30% = 326.737。

1 个答案

pzqa015 · 2023年05月17日

嗨,从没放弃的小努力你好:


第三年exposure:1060/(1+3%)+60=1089.1262

故第三年能收到的现金流就是exposure*回收率=1089.1262*0.3=326.7379


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