标题: [原创]问LV1 下午一道计算题 [打印本页]
作者: harryerin 时间: 2008-12-9 11:41 标题: [原创]问LV1 下午一道计算题
4-year zero coupon treasury note, par value 1,000, discount rate 7%, price=??
作者: Dong86 时间: 2008-12-9 11:45
刚才打错了，应该是N=8, FV=1000, I=3.5, Compute PV就这样吧，没什么陷阱吧[em09]
[此贴子已经被作者于2008-12-9 11:50:57编辑过]
作者: harryerin 时间: 2008-12-9 11:50
我晕倒,我一直把DISCOUNT RATE想成 face value的discount.
不过这样的话,正解应该是, N=8, I=3.5%, FV=1000, zero-coupon也是按照semi-anual来算的.
作者: Dong86 时间: 2008-12-9 11:55
是啊，我记得我应该是按semi-annual那样算的，呵呵。
作者: seraphic80 时间: 2008-12-10 07:24 标题: 回复：（harryerin）[原创]问LV1 下午一道计算题
totally wrong.
For discount rate, it means annually. (Book V, P392)
Only for BEY(bond equivalent yield), then you can compute as semi-annually.
作者: Dong86 时间: 2008-12-10 07:47
I thought you just divide the discount rate (which is the same as YTM) by two to get the semi-annual discount rate (which is semi-annual YTM). Even though you're given discount rate, but a zero-coupon bond should still technically be calculated on a semi-annual coupon-paying basis. Well, I could be wrong.
作者: harryerin 时间: 2008-12-10 08:45
楼上正解
作者: pighead123 时间: 2008-12-11 05:32
以下是引用Dong86在2008-12-10 7:47:00的发言：
I thought you just divide the discount rate (which is the same as YTM) by two to get the semi-annual discount rate (which is semi-annual YTM). Even though you're given discount rate, but a zero-coupon bond should still technically be calculated on a semi-annual coupon-paying basis. Well, I could be wrong.
Agree, Zero-coupon bond should calculated based on semi-annual rate, which is Annual YTM/2
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