单选题
An investor has a 1-year, semiannual, 10% coupon bond which is priced
at $1025. If the 6-month spot rate on a bond-equivalent basis is 8%, the 1-year
theoretical spot rate as a BEY is:
A. 6.4%.
B. 7.3%.
C. 8.0%.
【正确答案】
B
【答案解析】A BEY of 8% is equivalent to a 6 - month discount rate of 8/2=4%. 1025=50/1.04+1050/(1+r)2 1025-48.08=1050/(1+r)2 (1+r)2=1050/946.92=1.0748 r=(1.0748)0.50-1 r=0.0367 or 7.34% on a bond equivalent basis.