题目
An investor buys a US Treasury 4s of May 31, 2023 at a price of $922.05 for settlement on June 1st, 2013. The yield on this 10-year bond is 5.00% as, per the TI BA II+ calculator, N = 20, I/Y = 2.50, FV = 1000, PMT = 20 returns a present value of about $922.05. Over the subsequent one-year period, the bond pays a $20.00 coupon on November 30th and another $20.00 coupon on May 31st. The November coupon is reinvested at a semiannually compounded rate of 2.00%. If the bond's yield remains perfectly flat at 5.00%, which is nearest to the bond's gross realized return over the one year period?
选项
A.4.88%
B.4.97%
C.5.00%
D.5.03%
答案
D
解析
If the yield remains flat at 5.00%, the implied bond price one year forward = $928.23; i.e., N = 18 periods, I/Y = 2.50, PMT = 20, FV = 1000 --> CPT PV = 928.23.Gross return =[928.23+ 20.00×(1+2.0%/2) + 20.00-922.05] /922.05= 5.0301% or, with exactly bond pricing, 5.030%. 如果收益率保持在5.00％不变，则提前一年的隐含债券价格= $928.23; i.e., N = 18 periods, I/Y = 2.50, PMT = 20, FV = 1000 ..> CPT PV = 928.23.