<p>题目是这样的:</p><p>57 An analyst has gathered the following information: </p><p>Year 3-Year Treasury Rate Treasury Spot Rate </p><p></p><p> 1 3.75% 3.00% </p><p> 2 3.75% 3.50% </p><p></p> 3 3.75% 4.00% <p>Based on the arbitrage-free valuation approach, a $1,000 face value bond that pays a 5 percent annual coupon and matures in 3 years has a current market value closet to: </p><p>A. $1,027.75. </p><p>B. $1,028.67. </p><p>C. $1,034.85.</p><p> </p>答案是这样的: <p></p>57.Correct Answer = B <p></p><p>"Introduction to the Valuation of Debt Securities," Frank J. Fabozzi, CFA</p><p>2009 Modular Level I, Vol. 5, pp. 357-358; 372-378</p><p>Study Session 16-64-c, f</p><p>Compute the value of a bond and the change in value that is attributable to a change in the discount rate. </p><p>Explain the arbitrage-free valuation approach and the market process that forces the price of a bond toward its arbitrage-free value, and explain how a dealer can generate an arbitrage profit if a bond is mispriced.</p><p>Each cash flow is discounted by the appropriate spot rate:</p><p> </p><p>发现下面最关键的推算步骤没了。这条题目实在没想明白是什么意思。请老师能给解答一下。谢谢!</p><p> 另外关于spot rate 和forward rate实在整不明白。能有什么理解的窍门吗?^_^</p> <p></p>
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