固定收益证券的小组作业2
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固定收益证券作业固定收益证券作业11. The amount an investor will have in 15 years if $1,000 is invested today at an annual interest rate of 9% will be closest to:A. $1,350.B. $3,518.C. $3,642.2. F ifty years ago, an investor bought a share of stock for $10. T he stock has paid no dividends during this period, yet it has returned 20%, compounded annually, over the past 50 years.I f this is true, the share price is now closest to:A. $4,550.B. $45,502.C. $91,004.3. How much must be invested today at 0% to have $100 in three years?A. $77.75.B. $100.00.C. $126.30.4. H ow much must be invested today, at 8% interest, to accumulate enough to retire a $10,000 debt due seven years from today? T he amount that must be invested today is closest to:A. $5,835.B. $6,123.C. $8,794.5. An analyst estimates that XYZ’s earnings will grow from $3.00 a share to $4.50 per share over the next eight years. T he rate of growth in XYZ’s earnings is closest to:A. 4.9%.B. 5.2%.C. 6.7%.6. I f $5,000 is invested in a fund offering a rate of return of 12% per year, approximately how many years will it take for the investment to reach $10,000?A. 4 years.B. 5 years.C. 6 years.7. An investment is expected to produce the cash flows of $500, $200, and $800 at the end of the next three years. I f the required rate of return is 12%, the present value of this investment is closest to:A. $835.B. $1,175.C. $1,235.8. Given an 8.5% discount rate, an asset that generates cash flows of $10 in year 1, –$20 in year 2, $10 in year 3, and is then sold for $150 at the end of year 4, has a present value of:A. $108.29.B. $135.58.C. $163.42.9. An investor has just won the lottery and will receive $50,000 per year at the end of each of the next 20 years. A t a 10% interest rate, the present value of the winnings is closest to:A. $425,678.B. $637,241.C. $2,863,750.10. If $10,000 is invested today in an account that earns interest at a rate of 9.5%, what is the value of the equalwithdrawals that can be taken out of the account at the end of each of the next five years if the investor plans to deplete the account at the end of the time period?A. $2,453.B. $2,604.C. $2,750.11. A n investor is to receive a 15-year $8,000 annuity, the first payment to be received today.A t an 11% discount rate, this annuity’s worth today is closest to:A. $55,855.B. $57,527.C. $63,855.12. Given an 11% rate of return, the amount that must be put into an investment account at the end of each of the next ten years in order to accumulate $60,000 to pay for a child’s education is closest to:A. $2,500.B. $3,588.C. $4,432.13. A n investor will receive an annuity of $4,000 a year for ten years. T he first payment is to be received five years from today. A t a 9% discount rate, this annuity’s worth today is closest to:A. $16,684.B. $18,186.C. $25,671.14. If $1,000 is invested today and $1,000 is invested at the beginning of each of the next three years at 12% interest (compounded annually), the amount an investor will have at theend of the fourth year will be closest to:A. $4,779.B. $5,353.C. $6,792.15. A n investor is looking at a $150,000 home. I f 20% must be put down and the balance is financed at 9% over the next 30 years, what is the monthly mortgage payment?A. $799.33.B. $895.21.C. $965.55.16. Given daily compounding, the growth of $5,000 invested for one year at 12% interest will be closest to:A. $5,600.B. $5,628.C. $5,637.17. T erry C orporation preferred stocks are expected to paya $9 annual dividend forever. I f the required rate of return on equivalent investments is 11%, a share of Terry preferred should be worth:A. $81.82.B. $99.00.C. $122.22.18. A share of George C o. preferred stock is selling for $65.I t pays a dividend of $4.50 per year and has a perpetual life. T he rate of return it is offering its investors is closest to:A. 4.5%.B. 6.9%.C. 14.4%.19. If $10,000 is borrowed at 10% interest to be paid back over ten years, how much of the second year’s payment isinterest (assume annual loan payments)?A. $937.26.B. $954.25.C. $1,037.26.20. What is the effective annual rate for a credit card that charges 18% compounded monthly?A. 15.38%.B. 18.81%.C. 19.56%.分析题1. T he Parks plan to take three cruises, one each year. T hey will take their first cruise 9 years from today, the second cruise one year after that, and the third cruise 11 years from today.T he type of cruise they will take currently costs $5,000, but they expect inflation will increase this cost by 3.5% per year on average. T hey will contribute to an account to save for these cruises that will earn 8% per year. What equal contributions must they make today and every year until their first cruise (ten contributions) in order to have saved enough for all three cruises at that time? T hey pay for cruises when taken.2. A company’s dividend in 1995 was $0.88. O ver the next eight years, the dividends were $0.91, $0.99, $1.12, $0.95, $1.09, $1.25, $1.42, $1.26. Calculate the annually compounded growth rate of the dividend over the whole period.3. An investment (a bond) will pay $1,500 at the end of each year for 25 years and on the date of the last payment will also make a separate payment of $40,000. If your required rate of return on this investment is 4%, how much would you be willing to pay for the bond today?4. A bank quotes certificate of deposit (CD) yields both asannual percentage rates (A P R) without compounding and as annual percentage yields (A PY) that include the effects of monthly compounding. A$100,000 CD will pay $110,471.31 at the end of the year. C alculate the A P R and A PY the bank is quoting.5. Aclient has $202,971.39 in an account that earns 8% per year, compounded monthly. T he client’s 35th bir thday was yesterday and she will retire when the account value is $1 million.A. At what age can she retire if she puts no more money in the account?B. At what age can she retire if she puts $250/month into the account every month beginningone month from today?6. At retirement nine years from now, a client will have the option of receiving a lump sum of £400,000 or 20 annual payments of £40,000 with the first payment made at retirement. What is the annual rate the client would need to earn on a retirement investment to be indifferent between the two choices?Use the following data to answer Questions 1 and 1Assume an investor purchases a share of stock for $50 at time t = 0, and another share at $65 at time t = 1, and at the end of year 1 and year 2, the stock paid a $2.00 dividend. Also, at the end of year 2, the investor sold both shares for $70 each.1. The money-weighted rate of return on the investment is:A. 15.45%.B. 16.73%.C. 18.02%.2. The time-weighted rate of return on the investment is:A. 18.27%.B. 20.13%.C. 21.83%.3 What is the bank discount yield for a T-bill that is selling for $99,000, with a face value of $100,000, and 95 days remaining until maturity?A. 1.51%.B. 3.79%.C. 6.00%.4. What is the holding period yield for a T-bill that is selling for $99,000 if it has a face value of $100,000 and 95 days remaining until maturity?A. 1.01%.B. 2.03%.C. 3.79%.5. What is the effective annual yield for a T-bill that is selling for $99,000 if it has a face value of $100,000 and 95 days remaining until maturity?A. 3.79%.B. 3.94%.C. 4.50%.6. What is the money market yield for a T-bill that is selling for $99,000 if it has a face value of $100,000 and 95 days remaining until maturity?A. 3.79%.B. 3.83%.C. 3.90%.7. Which of the following is least accurate regarding a bank discount yield?A. It ignores the opportunity to earn compound interest.B. It is based on the face value of the bond, not its purchase price.C. It reflects the nonannualized return an investor will earnover a sec urity’s life.8. A 175-day T-bill has an effective annual yield of 3.80%. I ts money-market yield is closest to:A. 1.80%.B. 3.65%.C. 3.71%.1. A A llison R ogers, CFACFA, makes the following statement: “T he problems with bank discount yields quoted for T-bills is that they aren’t yields, they ignore compounding, and they are based on a short year.”A. I I s she correct in all regards?B. Which of these problems is/are remedied by using the holding period yield?C. Which of these problems is/are remedied by using a money market yield?D. Which of these problems is/are remedied by using effective annual yields?2. L. A dams buys 1,000 shares of Morris T ool stock for $35 per share. O ne year later the stock is $38 per share and has paid a dividend of $1.50 per share. A dams reinvests the dividends in additional shares at the time. A t the end of the second year, the shares are trading for $37 and have paid $2 dividends over the period.L. Burns buys 500 shares of Morris T ool stock for $35 per share. O ne year later the stock is $38 per share and has paid a dividend of $1.50 per share. Burns reinvests the dividends in additional shares at that time and also buys 500 additional shares.A t the end of the second year, the shares are trading for $37 and have paid $2 in dividends over the period.A. C C ompare the annual time-weighted returns for theaccounts of the two investors (no calculation required).B. C C ompare the annual money-weighted returns for the accounts of the two investors (no calculation required).。
固定收益证券习题答案北大第二章计算题答案1、假定到期收益率曲线是水平的,都是5%。
一个债券票面利率为6%,每年支付一次利息,期限3年。
如果到期收益率曲线平行上升一个百分点,请计算债券价格的变化。
债券原价格P=__++=102.7223 1.051.051.05新价格P=__++=1001.061.0621.063债券价格下降2.72元2、假定某债券面值为100元,期限为3年,票面利率为年6%,一年支付两次利息。
请计算债券本息累积到第3年年底的总价值(再投资收益率为半年3%)。
=3(1+3%)5+(1+3%)4+(1+3%)3+(1+3%)2+(1+3%)1+(1+3%)0+100 =119.43、假定某债券面值为100元,期限为3年,票面利率为年6%,一年支付两次利息。
投资者购买价格为103元,请计算在再投资收益率为年4%的情况下投资者的年收益率。
[]总收益__=3 (1+2%)+(1+2%)+(1+2%)+(1+2%)+(1+2%)+(1+2%) +100=118.92收益率13y=(118.92/103) 1=4.91%4、一个投资者按85元的价格购买了面值为100元的两年期零息债券。
投资者预计这两年的通货膨胀率将分别为4%和5%。
请计算该投资者购买这张债券的真实到期收益率。
因为2(((=1+i真)*1+4%)*1+5%)10085所以i真=3.8%5、一个债券期限为5年,票面利率为5%,面值为100元,一年支付利息两次,目前的价格为105元。
求该债券的到期收益率和年有效收益率。
约当收益率=2*1.94%=3.88% 年有效收益率=3.92%(1+1.94%)2 1=3.92%北大6、一个20年期限的债券,面值100元,现在价格110元,票面利率6%,一年两次付息。
5年后可以按面值回购,计算该债券的到期收益率和至第一回购日的到期收益率。
到期收益率(b.e.b.)=2.6%*2=5.2% 至第一回购日的到期收益率=1.89%*2=3.98%7、某投资者购买一张债券,面值为1000元,价格为1100元。
作业一1.三年后收到的$100,现在的价值是多少?假设三年期零息债券的利率是:a.复利20%,年计息b.复利100%,年计息c.复利0%,年计息d.复利20%,半年计息e.复利20%,季计息f.复利20%,连续计息2.以连续复利方式计息,下列利率各为多少?a.复利4%,年计息b.复利20%,年计息c.复利20%,季计息d.复利100%,年计息3.考虑下列问题:a.华尔街日报在交易日92年9月16日给出了票面利率为9 1/8’s在92年12月31日到期,92年9月17日结算的政府债券,其标价为买入价101:23,卖出价101:25。
这种债券相应买入和卖出的收益率是多少?b.在同一交易日,华尔街日报对同时在92年12月31日到期和在92年9月17日结算的T-bill报出的买入和卖出折现率分别是2.88%和2.86%(附录A“利率报价和惯例”中的例14中提到的T-bill),这里面是不是有套利机会?(“买入”和“卖出”是从交易者的角度出发,你是以“买入价”卖出,以“卖出价”买入)。
4.你在交易日92年9月16日以$10-26买入$2,000万票面价值为100的在2021年11月15日到期的STRIPs(零息债券),这种债券的到期收益率是多少?5.今天是交易日,1994年10月10日,星期一。
这三种债券的面值均为$100,每半年付息一次。
注意到上表中最后一列是到期收益,它反映了给定到期日,某种特定债券的标准惯例。
在计算日期时,不考虑闰年,同时也要忽略假期。
回答这个问题时非常重要的是要写清楚你的运算过程。
不能只是用计算器把价格计算出来。
本题要想得分,必须把计算中的所有步骤都写清楚。
a.计算美国财政部发行的国债的报价,假定此国债是按标准结算方式结算。
b.计算费城发行的城市债券的报价,假定此类债券标准结算期为三天。
c.计算联邦全国抵押协会发行的机构债券的报价,假定此类债券是按标准结算方式结算。
作业二1.考虑一固定付息债券,每年支付利息$1009.09,利息于时期1,2,…20支付。
固定收益证券习题答案北大第二章计算题答案1、假定到期收益率曲线是水平的,都是5%。
一个债券票面利率为6%,每年支付一次利息,期限3年。
如果到期收益率曲线平行上升一个百分点,请计算债券价格的变化。
债券原价格P=__++=102.7223 1.051.051.05新价格P=__++=1001.061.0621.063债券价格下降2.72元2、假定某债券面值为100元,期限为3年,票面利率为年6%,一年支付两次利息。
请计算债券本息累积到第3年年底的总价值(再投资收益率为半年3%)。
=3(1+3%)5+(1+3%)4+(1+3%)3+(1+3%)2+(1+3%)1+(1+3%)0+100 =119.43、假定某债券面值为100元,期限为3年,票面利率为年6%,一年支付两次利息。
投资者购买价格为103元,请计算在再投资收益率为年4%的情况下投资者的年收益率。
[]总收益__=3 (1+2%)+(1+2%)+(1+2%)+(1+2%)+(1+2%)+(1+2%) +100=118.92收益率13y=(118.92/103) 1=4.91%4、一个投资者按85元的价格购买了面值为100元的两年期零息债券。
投资者预计这两年的通货膨胀率将分别为4%和5%。
请计算该投资者购买这张债券的真实到期收益率。
因为2(((=1+i真)*1+4%)*1+5%)10085所以i真=3.8%5、一个债券期限为5年,票面利率为5%,面值为100元,一年支付利息两次,目前的价格为105元。
求该债券的到期收益率和年有效收益率。
约当收益率=2*1.94%=3.88% 年有效收益率=3.92%(1+1.94%)2 1=3.92%北大6、一个20年期限的债券,面值100元,现在价格110元,票面利率6%,一年两次付息。
5年后可以按面值回购,计算该债券的到期收益率和至第一回购日的到期收益率。
到期收益率(b.e.b.)=2.6%*2=5.2% 至第一回购日的到期收益率=1.89%*2=3.98%7、某投资者购买一张债券,面值为1000元,价格为1100元。
固定收益证券习题答案北大第二章计算题答案1、假定到期收益率曲线是水平的,都是5%。
一个债券票面利率为6%,每年支付一次利息,期限3年。
如果到期收益率曲线平行上升一个百分点,请计算债券价格的变化。
债券原价格P=__++=102.7223 1.051.051.05新价格P=__++=1001.061.0621.063债券价格下降2.72元2、假定某债券面值为100元,期限为3年,票面利率为年6%,一年支付两次利息。
请计算债券本息累积到第3年年底的总价值(再投资收益率为半年3%)。
=3(1+3%)5+(1+3%)4+(1+3%)3+(1+3%)2+(1+3%)1+(1+3%)0+100 =119.43、假定某债券面值为100元,期限为3年,票面利率为年6%,一年支付两次利息。
投资者购买价格为103元,请计算在再投资收益率为年4%的情况下投资者的年收益率。
[]总收益__=3 (1+2%)+(1+2%)+(1+2%)+(1+2%)+(1+2%)+(1+2%) +100=118.92收益率13y=(118.92/103) 1=4.91%4、一个投资者按85元的价格购买了面值为100元的两年期零息债券。
投资者预计这两年的通货膨胀率将分别为4%和5%。
请计算该投资者购买这张债券的真实到期收益率。
因为2(((=1+i真)*1+4%)*1+5%)10085所以i真=3.8%5、一个债券期限为5年,票面利率为5%,面值为100元,一年支付利息两次,目前的价格为105元。
求该债券的到期收益率和年有效收益率。
约当收益率=2*1.94%=3.88% 年有效收益率=3.92%(1+1.94%)2 1=3.92%北大6、一个20年期限的债券,面值100元,现在价格110元,票面利率6%,一年两次付息。
5年后可以按面值回购,计算该债券的到期收益率和至第一回购日的到期收益率。
到期收益率(b.e.b.)=2.6%*2=5.2% 至第一回购日的到期收益率=1.89%*2=3.98%7、某投资者购买一张债券,面值为1000元,价格为1100元。
第二次作业:《固定收益证券》Page 124-1253、假定某债券面值为100元,期限为3年,票面利率为年6%,1年支付2次利息,投资者购买价格为103元。
请计算在再投资收益率为年4%的情况下投资者的年收益率。
答:根据债券价格,可求得债券到期收益率y即有103=(3/(1+y/2)^t )6n =1+100/(1+y/2)^6 ∴y=4.909%6、一个20年期限的债券,面值100元,现在价格110元,票面利率6%,1年支付2次利息,5年后可以按面值回购。
计算该债券的到期收益率和至第一回购日的到期收益率。
答:根据债券价格,可求得债券到期收益率y110=100∗3% 1+y 2 t 40t=1+100 1+y 2 40 可得y=5.20%至第一回购日时,有100= 100∗3% 1+y 2t 10t=1+100 1+y 2 10 可得y=3.98%9假设平价到期收益率的单位为年,按年复利计算。
利用上面提供的信息,计算一下债券在零期的价格,该债券获得的现金流如下:C1=10元,C2=10元,C3=110元,其中Ct是在第t期获得的现金收入。
答:由题,1年期平价收益率为10%可得,1年期即期利率为10% 折现因子d1为1/(1+10%)=0.9091根据2年期平价收益率为15%,代表票面利率15%,有15*d1+115*d2=100可得折现因子d2为0.751根据3年期平价收益率为20%,代表票面利率20%,有20*d1+20*d2+120*d3=100可得折现因子d3为0.5567因此,C1=10元,C2=10元,C3=110元的现金流,零时点价格为:10*d1+10*d2+110*d3=77.84。
作业一1.三年后收到的$100,现在的价值是多少?假设三年期零息债券的利率是:a.复利20%,年计息b.复利100%,年计息c.复利0%,年计息d.复利20%,半年计息e.复利20%,季计息f.复利20%,连续计息2.以连续复利方式计息,下列利率各为多少?a.复利4%,年计息b.复利20%,年计息c.复利20%,季计息d.复利100%,年计息3.考虑下列问题:a.华尔街日报在交易日92年9月16日给出了票面利率为9 1/8’s在92年12月31日到期,92年9月17日结算的政府债券,其标价为买入价101:23,卖出价101:25。
这种债券相应买入和卖出的收益率是多少?b.在同一交易日,华尔街日报对同时在92年12月31日到期和在92年9月17日结算的T-bill报出的买入和卖出折现率分别是2.88%和2.86%(附录A“利率报价和惯例”中的例14中提到的T-bill),这里面是不是有套利机会?(“买入”和“卖出”是从交易者的角度出发,你是以“买入价”卖出,以“卖出价”买入)。
4.你在交易日92年9月16日以$10-26买入$2,000万票面价值为100的在2021年11月15日到期的STRIPs(零息债券),这种债券的到期收益率是多少?5.今天是交易日,1994年10月10日,星期一。
这三种债券的面值均为$100,每半年付息一次。
注意到上表中最后一列是到期收益,它反映了给定到期日,某种特定债券的标准惯例。
在计算日期时,不考虑闰年,同时也要忽略假期。
回答这个问题时非常重要的是要写清楚你的运算过程。
不能只是用计算器把价格计算出来。
本题要想得分,必须把计算中的所有步骤都写清楚。
a.计算美国财政部发行的国债的报价,假定此国债是按标准结算方式结算。
b.计算费城发行的城市债券的报价,假定此类债券标准结算期为三天。
c.计算联邦全国抵押协会发行的机构债券的报价,假定此类债券是按标准结算方式结算。
作业二1.考虑一固定付息债券,每年支付利息$1009.09,利息于时期1,2,…20支付。
固定收益证券习题答案北大第二章计算题答案1、假定到期收益率曲线是水平的,都是5%。
一个债券票面利率为6%,每年支付一次利息,期限3年。
如果到期收益率曲线平行上升一个百分点,请计算债券价格的变化。
债券原价格P=__++=102.7223 1.051.051.05新价格P=__++=1001.061.0621.063债券价格下降2.72元2、假定某债券面值为100元,期限为3年,票面利率为年6%,一年支付两次利息。
请计算债券本息累积到第3年年底的总价值(再投资收益率为半年3%)。
=3(1+3%)5+(1+3%)4+(1+3%)3+(1+3%)2+(1+3%)1+(1+3%)0+100 =119.43、假定某债券面值为100元,期限为3年,票面利率为年6%,一年支付两次利息。
投资者购买价格为103元,请计算在再投资收益率为年4%的情况下投资者的年收益率。
[]总收益__=3 (1+2%)+(1+2%)+(1+2%)+(1+2%)+(1+2%)+(1+2%) +100=118.92收益率13y=(118.92/103) 1=4.91%4、一个投资者按85元的价格购买了面值为100元的两年期零息债券。
投资者预计这两年的通货膨胀率将分别为4%和5%。
请计算该投资者购买这张债券的真实到期收益率。
因为2(((=1+i真)*1+4%)*1+5%)10085所以i真=3.8%5、一个债券期限为5年,票面利率为5%,面值为100元,一年支付利息两次,目前的价格为105元。
求该债券的到期收益率和年有效收益率。
约当收益率=2*1.94%=3.88% 年有效收益率=3.92%(1+1.94%)2 1=3.92%北大6、一个20年期限的债券,面值100元,现在价格110元,票面利率6%,一年两次付息。
5年后可以按面值回购,计算该债券的到期收益率和至第一回购日的到期收益率。
到期收益率(b.e.b.)=2.6%*2=5.2% 至第一回购日的到期收益率=1.89%*2=3.98%7、某投资者购买一张债券,面值为1000元,价格为1100元。
作业一1.三年后收到的$100,现在的价值是多少?假设三年期零息债券的利率是:a.复利20%,年计息b.复利100%,年计息c.复利0%,年计息d.复利20%,半年计息e.复利20%,季计息f.复利20%,连续计息2.以连续复利方式计息,下列利率各为多少?a.复利4%,年计息b.复利20%,年计息c.复利20%,季计息d.复利100%,年计息3.考虑下列问题:a.华尔街日报在交易日92年9月16日给出了票面利率为9 1/8’s在92年12月31日到期,92年9月17日结算的政府债券,其标价为买入价101:23,卖出价101:25。
这种债券相应买入和卖出的收益率是多少?b.在同一交易日,华尔街日报对同时在92年12月31日到期和在92年9月17日结算的T-bill报出的买入和卖出折现率分别是2.88%和2.86%(附录A“利率报价和惯例”中的例14中提到的T-bill),这里面是不是有套利机会?(“买入”和“卖出”是从交易者的角度出发,你是以“买入价”卖出,以“卖出价”买入)。
4.你在交易日92年9月16日以$10-26买入$2,000万票面价值为100的在2021年11月15日到期的STRIPs(零息债券),这种债券的到期收益率是多少?5.今天是交易日,1994年10月10日,星期一。
这三种债券的面值均为$100,每半年付息一次。
注意到上表中最后一列是到期收益,它反映了给定到期日,某种特定债券的标准惯例。
在计算日期时,不考虑闰年,同时也要忽略假期。
回答这个问题时非常重要的是要写清楚你的运算过程。
不能只是用计算器把价格计算出来。
本题要想得分,必须把计算中的所有步骤都写清楚。
a.计算美国财政部发行的国债的报价,假定此国债是按标准结算方式结算。
b.计算费城发行的城市债券的报价,假定此类债券标准结算期为三天。
c.计算联邦全国抵押协会发行的机构债券的报价,假定此类债券是按标准结算方式结算。
作业二1.考虑一固定付息债券,每年支付利息$1009.09,利息于时期1,2,…20支付。
教学案例作业案例一:投资国债的收益率到底有多少?(一)事件到目前为止,在我国财政部通过收益率招标方式发行的国债中,票面利率最高的是1996年6月14日发行的1996年记账式(五期)国债。
该国债期限10年,每年付息一次,票面利率11.83%,最后到期日为2006年6月14日。
在债券投资中,根据债券的买入价及未来债券利息和本金,可以计算到期收益率。
到期收益率就是指使债券未来现金流量的现值等于债券当前市场价格的贴现率。
换言之,到期收益率相当于投资者按照当前市场价格购买债券并且一直持有到满期时可以获得的复利回报率。
投资者张三在1996年6月14日按照面值购买了1996年记账式(五期)国债10万元。
另外,下表是1997年到2006年每年6月14日我国商业银行1年期定期存款利率、上证综指收盘指数和1996年记账式(五期)国债付息后的交易价格。
(二)思考第一,投资者张三如果一直持有1996年记账式(五期)国债,到最后偿还日的2006年6月14日,有无实现11.83%的到期收益率?为什么?第二,根据表中数据,假设张三在国债到期之前已抛售,并投入股市或干脆存银行,请估计其最后实现的收益率。
案例二:利率调整引起的债券价格变动(一)事件2010年10月20日,中国人民银行上调了金融机构人民币存贷款基准利率,存款利率平均上调13.78%,贷款利率平均上调4.04%。
我国银行间债券市场受中国人民银行调整利率的影响,收益率水平变化较大。
一方面,固定利率品种曲线全线大幅上行;另一方面,浮动利率债券收益率全面下行。
下表是银行间债券市场固定利率国债收益率曲线若干关键期限请根据上述资料,利用债券定价和债券投资的原理并结合我国实际,分析债券收益率的变动情况。
案例三:债券回购交易的异常报价(一)事件据网络媒体报道,2014年1月8日上海证券交易所182天期国债回购GC182开盘出现异常交易。
有融资方在集合竞价阶段给出了105%的年化收益率的奇异报价,并成交了600手,此价格较上一交易日的最高成交价高出近20倍;9点30分开盘再次以105%的年化收益率又成交了200手。
Group Assignment 2
Due on October 18th
1. A 5-year ordinary annuity with a par value of $10,000 and a coupon rate of 5%
has an expected cash flow of $2,309.75 per year, assuming there are no principal prepayments. The annual cash flow includes interest and principal payment. What is the present value of this ordinary annuity assuming a discount rate of 6%? What would the present value of an annuity due with same features be assuming the same discount rate of 6%?
[Note: Ordinary annuity is an annuity with cash flows occurring at the end of each period; Annuity due is an annuity with cash flows occurring at the
beginning of each period.]
ing the Treasury spot rates shown in the following table, what is the
arbitrage-free value of a 7.4% coupon 8-year Treasury security? Compared with its traditional present value at a 5.65% discount rate, what is the arbitrage profit that can be obtained from stripping this 7.4% 8-year Treasury? How does the
dealer arbitrage? [Hint: Should the dealer buy the Treasury and sell the strips or buy strips and sell the Treasury?]
Years Periods Annual Spot Rate (%) Years Periods Annual Spot Rate (%)
0.5 1 3.0000 4.5 9 5.1701
1 2 3.3000 5 10 5.2772
1.5 3 3.5053 5.5 11 5.3864
2 4 3.9164 6 12 5.4976
2.5 5 4.4376 6.5 13 5.6108
3 6 4.7520 7 1
4 5.6643
3.5 7
4.9622 7.5 15
5.7193
4 8 5.0650 8 16 5.7755
3.Suppose that a bond is purchased between coupon periods. The days between the
settlement date and the next coupon period is 58. There are 183 days in the
coupon period. Suppose that the bond purchased has a coupon rate of 7% and
there are 10 semiannual coupon payments remaining. What is the full price for this bond if a 5% annual discount rate is used? What are the accrued interest and the clean price for the bond?
4.Given the spot rates in Question 2, compute the 2-year forward rate 1.5 years from
now. Verify your answer.
[Hint: To verify your answer, you need to demonstrate that the total returns of
investing same $s computed using either spot rates or forward rates are
identical.]。