题目
The spot rate term structure is upward-sloping: 1.0% at 0.5 years, 2.0% at 1.0 years, 3.0% at 1.5 years, and 4.0% at 2.0 years. What is the price of two-year $100 face value bond that pays a semi-annual coupon with a 6.0% per annum coupon rate?
选项
A.$99.74
B.$101.67
C.$102.27
D.$103.95
答案
D
解析
PV (0.5 year cash flow) = $3/(1＋1%/2)^(0.5×2) = $2.99PV (1.0 year cash flow) = $3/(1＋2%/2)^(1.0×2) = $2.94PV (1.5 year cash flow) = $3/(1＋3%/2)^(1.5×2) = $2.87PV (2.0 year cash flow) = $103/(1＋4%/2)^(2.0×2) = $95.16Sum of PV of cash flows = $103.951 第0.5年的现金流的现值PV (0.5 year cash flow) = $3/(1＋1%/2)^(0.5×2) = $2.99 第1年的现金流的现值PV (1.0 year cash flow) = $3/(1＋2%/2)^(1.0×2) = $2.94 第1.5年的现金流的现值PV (1.5 year cash flow) = $3/(1＋3%/2)^(1.5×2) = $2.87 第2年的现金流的现值PV (2.0 year cash flow) = $103/(1＋4%/2)^(2.0×2) = $95.16 总现金流的现值 = $103.951