单选题 Calculate the current yield and the Yield-to-first Call on a bond with the following characteristics: 5 years to maturity $1000 face value 8.75% semi-annual coupon Priced to yield 9.25% = Callable at $1025 in two years Current Yield Yield-to-Call ①A. 8.93% 11.02% ②B. 9.83% 19.80% ③C. 12.67% 11.02%
【正确答案】 A
【答案解析】FV=1000, N=10=5×2, PMT=43.75=(1000×0.0875)/2, I/Y=4.625 (9.25/2), Compute PV =-980.34. CY=(Face value × Coupon)/PV of bond =(1000×0.0875)/980.34=8.93%. FV=1025(price at first call), N=4(2×2), PMT=43.75 (same as above), PV=-980.34 L/y=5.5117 (semi-annual rate, need to multiply by 2)=11.02%.