题目
Assume the reference term structure, which happens to be the theoretical Treasury spot rate curve, is flat at a semiannually compounded rate of 1.30% per annum. A $100 par bond with a 20-year maturity pays a 4 3/8 coupon (4.375% coupon rate) and has a current price of $95.82. Which is nearest to the bond's spread with semi-annual compounding; a.k.a., bond-equivalent basis?
选项
A.1.74%
B.3.40%
C.4.00%
D.4.70%
答案
B
解析
N = 40, PV = -95.82, PMT = 2.18750, FV = 100; CPT I/Y = 2.349832 × 2 = 4.699664%.Such that the spread = 4.699664%-1.30% = 3.3997%N = 40, PV =-95.82, PMT = 2.18750, FV = 100 ； CPT I/Y = 2.349832 × 2 = 4.699664%.那么两个利率的差异为=4.699664%-1.30% = 3.3997%