题目
A two-year zero-coupon bond issued by corporate XYZ is currently rated One year from now XYZ is expected to remain at A with 85% probability, upgraded to AA with 5% probability, and downgraded to BBB with 10% probability. The risk free rate is flat at 4%. The credit spreads are flat at 40, 80, and 150 basis points for AA, A, and BBB rated issuers, respectively. All rates are compounded annually. Estimate the expected value of the zero-coupon bond one year from now (for USD 100 face amount). Fixed Income Securities:
选项
A.USD 92.59
B.USD 95.35
C.USD 95.37
D.USD 95.42
答案
C
解析
Answer: CThe expected value of the zero coupon bond one year from now is given by「huixue_img/importSubject/1564170384708866048.png」