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You are given the following information on two bonds
Bond 1: Par=$1000, coupon=3%, maturity=2yrs, P=$924.3
Bond 2: Par=$1000, coupon=12%, maturity=2yrs, P=$1087.2
a)
Retrieve the spot rates from this information
b)
Using the spot rates, find the implied forward rates.
Explain in a few sentences what these forward rates are.
Carefully indicate any assumptions you make.

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关键词：Rate ATE information Assumptions Informatio 求助 Rate

自己顶一下
这题实在搞不清楚
spot rate 不是说的是 zero-coupon bond 的YTM 吗，但是这个不是coupon bond， 难道有什么办法可以把两者转换一下吗

2# aj_goodnews
不是哈，这个spot rate是相对forward rate而言

3# lailaibug

那请问下这题怎么做啊

spot rate 是 zero-coupon bond 的YTM 。

具体的计算应该是解二元二次方程。

lshi018 发表于 2010-4-26 17:03
spot rate 是 zero-coupon bond 的YTM 。

具体的计算应该是解二元二次方程。

agreed.

楼主看看笔记，套用以下公式就算出来了，a和b都是的，不是很麻烦的

lshi018 发表于 2010-4-26 17:03
spot rate 是 zero-coupon bond 的YTM 。

具体的计算应该是解二元二次方程。

Could you please explain a little bit more, still feel confused

8# aj_goodnews
those two guys have no idea what they're talking about
well, when the first guy said "解二元二次方程", it might be typo, when the second guy, who by the way is a charlatan, said "agreed", it's just hilarious
extra information is needed to answer your question
assume 1) those two bonds are just issued and 2) coupons are paid annually
define P(t, T) as the time t price of zero coupon bond that matures at time T
30 * P(0, 1) + 1030 * P(0, 2) = 924.3
120 * P(0, 1) + 1120 * P(0, 2) = 1087.2
solve it you get P(0, 1) = 0.94, P(0, 2) = 0.87
ignore day count convention, spot rates are r(1) = 6.19%, r(2) = 6.96%, forward rate f(1, 2) = 7.74%, all rates are continuously compounding

9# irvingy

Thank you. Now I have some clue. I just came up with that x=0.94 and y=0.87 but for spot rate I don't know how you get your answer. Would you mind show your work of how you came up with those numbers?