题目
Analyst Patricia is analyzing the following four bonds:
Bond A is a $100.00 face value bond with 7.0 years to maturity that pays a monthly coupon at a rate of 6.0% per annum and offers a yield of 5.0% per annum (with monthly compound frequency)
Bond B is a $100.00 face value bond with 10.0 years to maturity that pays a semi-annual coupon at a rate of 4.0% per annum and offers a yield of 5.0% per annum (with semiannual compound frequency)
Bond C is a $100.00 face value bond with 10.0 years to maturity that pays an annual coupon at a rate of 7.0% per annum and offers a yield of 6.0% per annum (with annual compound frequency)
Bond D is a $1,000.00 face value zero-coupon bond with 30.0 years to maturity that offers a yield (aka, yield to maturity) of 8.0% per annum with semi-annual compound frequency
In terms of their current theoretical prices, which bonds are, respectively, the cheapest and most expensive (among the four)?
选项
A.Bond A is the cheapest and Bond D is the most expensive
B.Bond B is the cheapest and Bond C is the most expensive
C.Bond C is the cheapest and Bond A is the most expensive
D.Bond D is the cheapest and Bond B is the most expensive
答案
B
解析
Bond B is the cheapest (at $92.21) and Bond C is the most expensive (at $107.36). The following are the theoretical prices:Bond A: 7×12 = 84 N, 5/12 = 0.4167 I/Y, 0.06×100/12 = 0.50 PMT, 100 FV and CPT PV [+/-] = $105.90Bond B: 10×2 = 20 N, 5/2 = 2.5 I/Y, 0.04×100/2 = 2.0 PMT, 100 FV and CPT PV [+/-] = $92.21Bond C: 10×1 = 10 N, 6/1 = 6.0 I/Y, 0.07×100/1 = 7.0 PMT, 100 FV and CPT PV [+/-] = $107.36Bond D: 30×2 = 60 N, 8/2 = 4.0 I/Y, 0 PMT, 100 FV and CPT PV [+/-] = $95.06债券B是最便宜的为$92.12，债券C是最贵的价格为$107.36.计算理论价格过程如下： Bond A: 7×12 = 84 N, 5/12 = 0.4167 I/Y, 0.06×100/12 = 0.50 PMT, 100 FV and CPT PV [ ＋/-] = $105.90 Bond B: 10×2 = 20 N, 5/2 = 2.5 I/Y, 0.04×100/2 = 2.0 PMT, 100 FV and CPT PV [ ＋/-] = $92.21 Bond C: 10×1 = 10 N, 6/1 = 6.0 I/Y, 0.07×100/1 = 7.0 PMT, 100 FV and CPT PV [ ＋/-] = $107.36 Bond D: 30×2 = 60 N, 8/2 = 4.0 I/Y, 0 PMT, 100 FV and CPT PV [ ＋/-] = $95.06