单选题
Given the following forward rates, the value of a 4 -year, 11 percent annual pay, $1000 par bond, is closest to:
【正确答案】
A
【答案解析】Spot Rates:
Year 1=7%.
Year 2=
[1.07×1.0815]
1/2-1=7.57%.
Year3=[1.07×1.0815×1.103]
1/3-1=8.48%.
Year
4=[1.07×1.0815×1.103×1.120]
1/4-1=9.35%.
|
Bond Value: |
|
N=I; FV=110; I/Y=7; CPT PV= |
102.80 |
|
N=2; FV=110; I/Y=7.57; CPT PV= |
95.06 |
|
N=3; FV=110; I/Y=8.48; CPT PV = |
86.17 |
|
N=4; FV=1110; I/Y=9.35; CPT PV= |
776.33 |
|
|
1060.36 |