题目
The first U.S. Treasury bond has a price of $99.98, matures in six months, and pays a semi-annual coupon at a rate of 3.0% per annum. The second U.S. Treasury bond has a price of $101.11, matures in one year, and pays a semi-annual coupon at a rate of 4.0% per annum. What are, respectively, the six-month and one-year discount factors?
选项
A.d(0.5) = 0.9790, d(1.0) = 0.9830
B.d(0.5) = 0.9850, d(1.0) = 0.9720
C.d(0.5) = 1.0020, d(1.0) = 0.9830
D.d(0.5) = 0.9650, d(1.0) = 1.0340
答案
B
解析
$99.98=d(0.5)×$101.50,so that d(0.5) = 99.98/101.50 = 0.9850 .$101.11 = d(0.5)×$2.00 + d(1.0)×$102.00, so that d(1.0) = [101.11 - (0.9850 × 2.0)]/102.00 = 0.9720这道题的计算过程如下：