为什么这道题的reinvestment rate是6%?
谢谢
问题如下图:
选项:
A.
B.
C.
解释:
NO.PZ2016031001000112 问题如下 investor purchases a nine-year, 7% annucoupon payment bona priequto pvalue. After the bonis purchaseanbefore the first coupon is receive interest rates increase to 8%. The investor sells the bonafter five years. Assume thinterest rates remain unchange8% over the five-yeholng perio Assuming thall coupons are reinvesteover the holng perio the investor’s five-yehorizon yielis closest to: A.5.66%. B.6.62%. C.7.12%. B is correct.The investor’s five-yehorizon yielis closest to 6.62%. After five years, the sale priof the bonis 96.69 anthe future value of reinvestecash flows 8% is 41.0662 per 100 of pvalue. The totreturn is 137.76 (= 41.07 + 96.69), resulting in a realizefive-yehorizon yielof 6.62%:100=137.76(1+r)5100=\frac{137.76}{{(1+r)}^5}100=(1+r)5137.76r = 0.066241.0662=7 + 7*1.08 + 7*1.08^2 + 7*1.08^3 + 7*1.08^496.6879=7/1.08 + 7/1.08^2 + 7/1.08^3 + 107/1.08^4考点Horizon Yiel析由题干可知,一个九年期的债券持有五年。现在要我们计算五年的Horizon Yiel首先求出5年后卖出债券时所有的Coupon + Coupon Reinvestment,将现金流复利到第五年末,得到41.07。然后求出5年后卖出时的债券价格,要算5年后卖出债券的价格,实际上是将债券剩余4年的现金流折现到第五年末。于是,N=4,PMT=7,I/Y=8,FV=100,得到 PV = -96.69,所以5年后债券的卖出价格是96.69。将以上两个部分相加总得到持有期总收益为137.76。计算年化收益率100*(1+r)^5=137.76,求出r = 6.62%,故B正确。 阔以一下为什么N=4而不是5呢?是跟第一次付息前,利率变化有关么,这个变化是怎么影响的N取值的呀?谢谢老师
NO.PZ2016031001000112 问题如下 investor purchases a nine-year, 7% annucoupon payment bona priequto pvalue. After the bonis purchaseanbefore the first coupon is receive interest rates increase to 8%. The investor sells the bonafter five years. Assume thinterest rates remain unchange8% over the five-yeholng perio Assuming thall coupons are reinvesteover the holng perio the investor’s five-yehorizon yielis closest to: A.5.66%. B.6.62%. C.7.12%. B is correct.The investor’s five-yehorizon yielis closest to 6.62%. After five years, the sale priof the bonis 96.69 anthe future value of reinvestecash flows 8% is 41.0662 per 100 of pvalue. The totreturn is 137.76 (= 41.07 + 96.69), resulting in a realizefive-yehorizon yielof 6.62%:100=137.76(1+r)5100=\frac{137.76}{{(1+r)}^5}100=(1+r)5137.76r = 0.066241.0662=7 + 7*1.08 + 7*1.08^2 + 7*1.08^3 + 7*1.08^496.6879=7/1.08 + 7/1.08^2 + 7/1.08^3 + 107/1.08^4考点Horizon Yiel析由题干可知,一个九年期的债券持有五年。现在要我们计算五年的Horizon Yiel首先求出5年后卖出债券时所有的Coupon + Coupon Reinvestment,将现金流复利到第五年末,得到41.07。然后求出5年后卖出时的债券价格,要算5年后卖出债券的价格,实际上是将债券剩余4年的现金流折现到第五年末。于是,N=4,PMT=7,I/Y=8,FV=100,得到 PV = -96.69,所以5年后债券的卖出价格是96.69。将以上两个部分相加总得到持有期总收益为137.76。计算年化收益率100*(1+r)^5=137.76,求出r = 6.62%,故B正确。 第五年卖出价格为什么不是FV5?即PV=-100, PMT=7. I/Y=8, N=5,求出FV=105.87
NO.PZ2016031001000112 问题如下 investor purchases a nine-year, 7% annucoupon payment bona priequto pvalue. After the bonis purchaseanbefore the first coupon is receive interest rates increase to 8%. The investor sells the bonafter five years. Assume thinterest rates remain unchange8% over the five-yeholng perio Assuming thall coupons are reinvesteover the holng perio the investor’s five-yehorizon yielis closest to: A.5.66%. B.6.62%. C.7.12%. B is correct.The investor’s five-yehorizon yielis closest to 6.62%. After five years, the sale priof the bonis 96.69 anthe future value of reinvestecash flows 8% is 41.0662 per 100 of pvalue. The totreturn is 137.76 (= 41.07 + 96.69), resulting in a realizefive-yehorizon yielof 6.62%:100=137.76(1+r)5100=\frac{137.76}{{(1+r)}^5}100=(1+r)5137.76r = 0.066241.0662=7 + 7*1.08 + 7*1.08^2 + 7*1.08^3 + 7*1.08^496.6879=7/1.08 + 7/1.08^2 + 7/1.08^3 + 107/1.08^4考点Horizon Yiel析由题干可知,一个九年期的债券持有五年。现在要我们计算五年的Horizon Yiel首先求出5年后卖出债券时所有的Coupon + Coupon Reinvestment,将现金流复利到第五年末,得到41.07。然后求出5年后卖出时的债券价格,要算5年后卖出债券的价格,实际上是将债券剩余4年的现金流折现到第五年末。于是,N=4,PMT=7,I/Y=8,FV=100,得到 PV = -96.69,所以5年后债券的卖出价格是96.69。将以上两个部分相加总得到持有期总收益为137.76。计算年化收益率100*(1+r)^5=137.76,求出r = 6.62%,故B正确。 我理解有4笔现金流复利到5年末。那么为什么不能直接FV5?就是一个7%的bonI/Y 8%,面值买入,持有5年。如果是这样不是 n=5吗?
NO.PZ2016031001000112 问题如下 investor purchases a nine-year, 7% annucoupon payment bona priequto pvalue. After the bonis purchaseanbefore the first coupon is receive interest rates increase to 8%. The investor sells the bonafter five years. Assume thinterest rates remain unchange8% over the five-yeholng perio Assuming thall coupons are reinvesteover the holng perio the investor’s five-yehorizon yielis closest to: A.5.66%. B.6.62%. C.7.12%. B is correct.The investor’s five-yehorizon yielis closest to 6.62%. After five years, the sale priof the bonis 96.69 anthe future value of reinvestecash flows 8% is 41.0662 per 100 of pvalue. The totreturn is 137.76 (= 41.07 + 96.69), resulting in a realizefive-yehorizon yielof 6.62%:100=137.76(1+r)5100=\frac{137.76}{{(1+r)}^5}100=(1+r)5137.76r = 0.066241.0662=7 + 7*1.08 + 7*1.08^2 + 7*1.08^3 + 7*1.08^496.6879=7/1.08 + 7/1.08^2 + 7/1.08^3 + 107/1.08^4考点Horizon Yiel析由题干可知,一个九年期的债券持有五年。现在要我们计算五年的Horizon Yiel首先求出5年后卖出债券时所有的Coupon + Coupon Reinvestment,将现金流复利到第五年末,得到41.07。然后求出5年后卖出时的债券价格,要算5年后卖出债券的价格,实际上是将债券剩余4年的现金流折现到第五年末。于是,N=4,PMT=7,I/Y=8,FV=100,得到 PV = -96.69,所以5年后债券的卖出价格是96.69。将以上两个部分相加总得到持有期总收益为137.76。计算年化收益率100*(1+r)^5=137.76,求出r = 6.62%,故B正确。 horizon yiel就是收益率的意思吗
NO.PZ2016031001000112 问题如下 investor purchases a nine-year, 7% annucoupon payment bona priequto pvalue. After the bonis purchaseanbefore the first coupon is receive interest rates increase to 8%. The investor sells the bonafter five years. Assume thinterest rates remain unchange8% over the five-yeholng perio Assuming thall coupons are reinvesteover the holng perio the investor’s five-yehorizon yielis closest to: A.5.66%. B.6.62%. C.7.12%. B is correct.The investor’s five-yehorizon yielis closest to 6.62%. After five years, the sale priof the bonis 96.69 anthe future value of reinvestecash flows 8% is 41.0662 per 100 of pvalue. The totreturn is 137.76 (= 41.07 + 96.69), resulting in a realizefive-yehorizon yielof 6.62%:100=137.76(1+r)5100=\frac{137.76}{{(1+r)}^5}100=(1+r)5137.76r = 0.066241.0662=7 + 7*1.08 + 7*1.08^2 + 7*1.08^3 + 7*1.08^496.6879=7/1.08 + 7/1.08^2 + 7/1.08^3 + 107/1.08^4考点Horizon Yiel析由题干可知,一个九年期的债券持有五年。现在要我们计算五年的Horizon Yiel首先求出5年后卖出债券时所有的Coupon + Coupon Reinvestment,将现金流复利到第五年末,得到41.07。然后求出5年后卖出时的债券价格,要算5年后卖出债券的价格,实际上是将债券剩余4年的现金流折现到第五年末。于是,N=4,PMT=7,I/Y=8,FV=100,得到 PV = -96.69,所以5年后债券的卖出价格是96.69。将以上两个部分相加总得到持有期总收益为137.76。计算年化收益率100*(1+r)^5=137.76,求出r = 6.62%,故B正确。 我想问一下为什么interest rate变成了8%那期间现金流7始终是不变的吗?只是计算器上I/Y的健变成了8而已?然后只读题目怎么能知道pvalue是100?和起初的pv是100?