单选题 An analyst collects the following spot rates, stated as annual BEYs: 6-month spot rate =6%. 12-month spot rate =6.5%. 18-month spot rate =7%. 24-month spot rate =7.5%. Given only this information, the value of a 2 -year, semiannual-pay, 10% coupon bond with a face value of $1000 is closest to:

A、

A. $918.30.
B、

B. $1000.00.
C、

C. $1046.77.

【正确答案】 C

【答案解析】
This is a four-period bond with $ 50 cash flows each period. Divide each spot rate by two to get the semiannual rate.
PVI: N=I; I/Y=3.00; FV=$50; CFF→PV=$48.54
PV2: N=2; I/Y=3.25; FV=$50; CFF→PV=$46.90
PV3: N=3; I/Y=3.50; FV=$50; CPT→PV=$45.10
PV4: N=4; I/Y=3.75; FV=$1050; CPT→PV=$906.23
50/1.03+50/1.0325²+50/1.035³+1050/1.0375⁴=$1046.77