求解一道简单的货币金融学问题。

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1) For a consol bond which pays a fixed coupon payment of $100, if the yield to maturity of this consol bond is 10% at the beginning of the year, and drop to 5% at the end of the year. What is the annual rate of return of consol bond? ( Hint : calculate the price of the bond at the beginning and end of the year each ) (5 marks)
2) For a coupon bond with coupon rate of 10% maturing in 2 years and selling at its face value. If the yield to maturity is 10% at the beginning of the year, and drop to 5% at the end of the year. What is the annual rate of return of this coupon bond ? (5 marks)
3) Which one is a better investment? Can you relate your results to the theory on interest rate risk? (2 mark)


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关键词：货币金融学 货币金融 金融学 Investment Beginning 货币金融学 beginning selling payment annual

(100/0.05-100/0.1+100)/(100/0.1)=110%
(1.1F/1.05-F+0.1F)/F=14.76%
不知道对错，飘走，啦啦啦

zl85 发表于 2011-4-29 20:59
(100/0.05-100/0.1+100)/(100/0.1)=110%
(1.1F/1.05-F+0.1F)/F=14.76%
不知道对错，飘走，啦啦啦

correct.
1. 10%+100%=110%
2. 5/105 + 10% = 14.76%

最后一题可以duration来比较