单选题
A 3-year option-free bond (par value of $1000) has an annual coupon of
9 percent. An investor determines that the spot rate of year 1 is 6 percent, the
year 2 spot rate is 12 percent, and the year 3 spot rate is 13 percent. Using
the arbitrage-free valuation approach, the bond price is closest to :
- A. $968.
- B. $1000.
- C. $912.
【正确答案】
C
【答案解析】Price=[90/(1.06)]+[90/(1.12)2]+[1090/(1.13)3]=912. Or, in keeping with the notion that each cash flow is a separate bond, sum the following transactions:
N=I, I/Y=6.0, PMT=0, FV=90, CPT PV=84.91
N=2, I/Y=12.0, PMT=0, FV=90, CPT PV=71.75
N=3, I/Y=13.0, PMT=0, FV=1090, CPT PV=755.42
Price=84.91+71.75+755.42=$912.08.