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lanjing666666 · 2019年12月02日

问一道题:NO.PZ2016031001000069 [ CFA I ]

问题如下图:

选项:

A.

B.

C.

解释:

我能不能直接用计算器计算2014.4.10的现值呢,n=4,I/Y=2,pmt=2.5,fv=100,按计算器计算出pv,然后再将pv*(1+2%)按照66/180的天数折单6.16号,最后加上那段时间的分红,就跟何老师视频上讲的一样,可以吗

1 个答案

吴昊_品职助教 · 2019年12月02日

嗨,从没放弃的小努力你好:


首先,我们将未来五笔现金流折现到2014.4.10,得到现值之和为102.36。N=5,PMT=2.5,I/Y=2,FV=100,求得PV=102.36。你列出来的N有问题。然后再将这个数值复利到2014.6.16,得到full price为103.10。复利得到的是full price,不需要再加上AI了。


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NO.PZ2016031001000069 问题如下 BonG, scribein the exhibit below, is solfor settlement on 16 June 2014.AnnuCoupon 5%Coupon Payment Frequen SemiannualInterest Payment tes 10 April an10 OctoberMaturity te 10 October 2016y Count Convention 30/360AnnuYielto-Maturity 4%The full prithBonG will settle on 16 June 2014 is closest to: A.102.36. B.103.10. C.103.65. B is correct.The bons full priis 103.10. The priis terminein the following manner:of the beginning of the coupon perioon 10 April 2014, there are 2.5 years (5semiannuperio) to maturity. These five semiannuperio occur on 10 October2014, 10 April 2015, 10 October 2015, 10 April 2016 an10 October 2016. PV=PMT(1+r)1+PMT(1+r)2+PMT(1+r)3+PMT(1+r)4+PMT+FV(1+r)5PV=\frac{PMT}{{(1+r)}^1}+\frac{PMT}{{(1+r)}^2}+\frac{PMT}{{(1+r)}^3}+\frac{PMT}{{(1+r)}^4}+\frac{PMT+FV}{{(1+r)}^5}PV=(1+r)1PMT​+(1+r)2PMT​+(1+r)3PMT​+(1+r)4PMT​+(1+r)5PMT+FV​PV=2.5(1+0.02)1+2.5(1+0.02)2+2.5(1+0.02)3+2.5(1+0.02)4+2.5+100(1+0.02)5PV=\frac{2.5}{{(1+0.02)}^1}+\frac{2.5}{{(1+0.02)}^2}+\frac{2.5}{{(1+0.02)}^3}+\frac{2.5}{{(1+0.02)}^4}+\frac{2.5\text{+}100}{{(1+0.02)}^5}PV=(1+0.02)12.5​+(1+0.02)22.5​+(1+0.02)32.5​+(1+0.02)42.5​+(1+0.02)52.5+100​PV = 2.45 + 2.40 + 2.36 + 2.31 + 92.84 = 102.36The accrueinterest periois intifie66/180. The number of ys between10April2014 an16 June 2014 is 66 ys baseon the 30/360 y count convention. (This is 20ys remaining in April + 30 ys in M+ 16 ys in June = 66 ys total). The number of ys between coupon perio is assumeto 180 ys using the 30/360 y convention.PVFull=PV×(1 +r)66/180PV^{Full}=PV\times{(1\text{ }+r)}^{66/180}PVFull=PV×(1 +r)66/180PVFull= 102.36×(1.02)66/180= 103.10PV^{Full}=\text{ }102.36\times{(1.02)}^{66/180}=\text{ }103.10PVFull= 102.36×(1.02)66/180= 103.10考点flpri full price解析首先,我们将未来五笔现金流折现到2014.4.10,得到现值之和为102.36。N=5,PMT=2.5,I/Y=2,FV=100,求得PV=102.36然后再将这个数值复利到2014.6.16,得到full price为103.10,故B正确。我们之所以没有直接将未来五笔现金流折到2014.6.16,是因为五笔现金流的时间间隔不同,后面四笔现金流时间间隔是半年,而从6.16到10.10之间并不是半年。因此现金流就不是一个年金的形式,我们就没有办法用计算器直接求PV了。 这一题不用计算accureinterest 吗?用公式 full price= flate pri+ accureinterest 计算?

2024-04-13 15:07 1 · 回答

NO.PZ2016031001000069问题如下BonG, scribein the exhibit below, is solfor settlement on 16 June 2014.AnnuCoupon 5%Coupon Payment Frequen SemiannualInterest Payment tes 10 April an10 OctoberMaturity te 10 October 2016y Count Convention 30/360AnnuYielto-Maturity 4%The full prithBonG will settle on 16 June 2014 is closest to:A.102.36.B.103.10.C.103.65. B is correct.The bons full priis 103.10. The priis terminein the following manner:of the beginning of the coupon perioon 10 April 2014, there are 2.5 years (5semiannuperio) to maturity. These five semiannuperio occur on 10 October2014, 10 April 2015, 10 October 2015, 10 April 2016 an10 October 2016. PV=PMT(1+r)1+PMT(1+r)2+PMT(1+r)3+PMT(1+r)4+PMT+FV(1+r)5PV=\frac{PMT}{{(1+r)}^1}+\frac{PMT}{{(1+r)}^2}+\frac{PMT}{{(1+r)}^3}+\frac{PMT}{{(1+r)}^4}+\frac{PMT+FV}{{(1+r)}^5}PV=(1+r)1PMT​+(1+r)2PMT​+(1+r)3PMT​+(1+r)4PMT​+(1+r)5PMT+FV​PV=2.5(1+0.02)1+2.5(1+0.02)2+2.5(1+0.02)3+2.5(1+0.02)4+2.5+100(1+0.02)5PV=\frac{2.5}{{(1+0.02)}^1}+\frac{2.5}{{(1+0.02)}^2}+\frac{2.5}{{(1+0.02)}^3}+\frac{2.5}{{(1+0.02)}^4}+\frac{2.5\text{+}100}{{(1+0.02)}^5}PV=(1+0.02)12.5​+(1+0.02)22.5​+(1+0.02)32.5​+(1+0.02)42.5​+(1+0.02)52.5+100​PV = 2.45 + 2.40 + 2.36 + 2.31 + 92.84 = 102.36The accrueinterest periois intifie66/180. The number of ys between10April2014 an16 June 2014 is 66 ys baseon the 30/360 y count convention. (This is 20ys remaining in April + 30 ys in M+ 16 ys in June = 66 ys total). The number of ys between coupon perio is assumeto 180 ys using the 30/360 y convention.PVFull=PV×(1 +r)66/180PV^{Full}=PV\times{(1\text{ }+r)}^{66/180}PVFull=PV×(1 +r)66/180PVFull= 102.36×(1.02)66/180= 103.10PV^{Full}=\text{ }102.36\times{(1.02)}^{66/180}=\text{ }103.10PVFull= 102.36×(1.02)66/180= 103.10考点flpri full price解析首先,我们将未来五笔现金流折现到2014.4.10,得到现值之和为102.36。N=5,PMT=2.5,I/Y=2,FV=100,求得PV=102.36然后再将这个数值复利到2014.6.16,得到full price为103.10,故B正确。我们之所以没有直接将未来五笔现金流折到2014.6.16,是因为五笔现金流的时间间隔不同,后面四笔现金流时间间隔是半年,而从6.16到10.10之间并不是半年。因此现金流就不是一个年金的形式,我们就没有办法用计算器直接求PV了。 为啥计算器te算出来是67天?

2023-12-01 09:54 1 · 回答

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2023-11-24 14:41 1 · 回答

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2023-08-14 20:40 2 · 回答

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2022-06-24 02:00 1 · 回答