题目
A $10 million Treasury bond (note) with a 10-year maturity pays semi-annual coupons at a coupon rate of 4.0% per annum. If the bond is fully "stripped" such that STRIPS are created, each of the following is TRUE except:
选项
A.The stripping creates 21 zero-coupon bonds
B.Each of the C-STRIPS and the P-STRIP implies an exact spot (a.k.a., zero) interest rate
C.The duration of the P-STRIP is greater than the duration of the original Treasury bond
D.The C-STRIPS each have durations near to zero
答案
D
解析
The C-STRIPS are not floating-rate notes, they are zero-coupon bonds corresponding to the respective coupons. So, in this case, the twenty C-STRIPS have Macaulay durations of: 0.5, 1.0, 1.5,....In regard to (A), (B), and (C), each is TRUE about the STRIPS.In regard to (A), the bonds twenty coupons (10 years × 2 coupons/year) create 20 CSTRIPS plus the principal repayment creates a single P-STRIP. C.STRIPS不是浮动利率票据，它们是对应于各个息票的零息债券。 因此，在这种情况下，二十个C.STRIPS的Macaulay持续时间为：0.5、1.0、1.5，...。 关于（A），（B）和（C），关于STRIPS每个都是正确的。 关于（A），债券二十张息票（10年×2张息票/年）创建20个CSTRIPS，加上本金还款创建单个P.STRIP。