题目
A U.S. Treasury note with 1.5 years to maturity has a market price of $101.75 and pays a semi-annual coupon with a coupon rate of 5.50%. The market's discount function is the following set of discount factors: d(0.5) = 0.970, d(1.0) = 0.950, and d(1.5) = 0.920. Is the bond trading cheap, rich, or fair?
选项
A.Trading cheap
B.Trading fair
C.Trading rich
D.Cheap at six months, fair at one year, and rich at 1.5 years.
答案
C
解析
The model ("predicted") price is the discounted present value = $2.75 × d(0.5) + $2.75 × d(2) + $102.75 × d(3) = 99.81. As the market price ($101.75) is greater than than the predicted price ($99.81), the bond is trading rich.If market price > model (predicted) price, bond is "trading rich".If market price ＜ model (predicted) price, bond is "trading cheap". In regard to (D), this is meaningless.模型（“预测的”）价格是折现现值=2.75×d（0.5） 2.75×d（2） 102.75×d（3）= 99.81。 由于市场价格（101.75美元）高于预期价格（99.81美元），该债券交易富裕。如果市场价格大于模型（预测）价格，则债券“交易丰富”。如果市场价格小于模型（预测）价格，则债券“交易便宜”。选项D，是没有意义的。