题目
A ten-year bond pays a semi-annual coupon with a coupon rate of 7.0% and the bond's yield (YTM) is 6.0%. If the yield remains unchanged, what happens to the price of the bond in six months?
选项
A.Lower price
B.Same price
C.Higher price
D.Need more information (the initial bond price)
答案
A
解析
As yield ＜ coupon rate, the bond currently trades at a premium to par. With unchanged yield, the price will get "pulled to par" and therefore must decrease. We have enough information to price the bonds, but please note we do NOT need to price the bond if we are familiar with pulling to par concept at 10 years, price = -PV(6%/2, 10×2, $7/2, $100) = $107.44; at 9.5 years, price = -PV(6%/2, 9.5×2, $7/2, $100) = $107.16. 由于收益率＜票息率，该债券目前的交易价格高于面值。 在收益率不变的情况下，价格将被“拉至平价”，因此必须降低。 我们有足够的信息来对债券定价，但是请注意，我们不需要对债券进行定价 在第十年， price = －PV(6%/2, 10×2, $7/2, $100) = $107.44; 在第九年， price = －PV(6%/2, 9.5×2, $7/2, $100) = $107.16.