单选题 Given the following forward rates, the value of a 4 -year, 11 percent annual pay, $1000 par bond, is closest to:
Year
Rate
1
7.00%
2
8.15%
3
10.30%
4
12.00%
Note that the year 1 rate is the current rate (or spot rate) on a 1 -year security.
  • A. $1060.36.
  • B. $984.25.
  • C. $1052.63.
【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