题目
Assume the upward-sloping 2-year theoretical spot rate curve, and associated discount factors, below: Consider three bonds with identical par value of $100 and maturity of two years:
Bond I is a zero-coupon bond
Bond II pays a semi-annual 2.0% coupon
Bond III pays a semi-annual 4.0% coupon
From lowest to highest, what is the order of their yields-to-maturity (YTM)?
选项
A.YTM(I)＜II＜YTM(III)
B.I = II = III (same YTM)
C.III＜II＜I
D.Unclear without more information.
答案
C
解析
4% coupon bond has lowest and zero-coupon has highest yield.This is the "coupon effect:" we don't really need to price them. The yield of the zero-coupon bond equals the 2-year spot rate of 1.9465% because it discounts only a single cash flow, then the yield decreases as the coupon increases 4％息票债券的收益率最低，零息债券的收益率最高。 这就是“票息效应”：我们实际上不需要为它们定价。 零息债券的收益率等于2年期即期利率1.9465％，因为它仅折现单一现金流量，然后收益率随着息票增加而下降