请教一道LV1题目。急。

youxiaer

an investor has a 1-year, 10% semiannual coupon bond with a price of $975. if the 6-month Treasury bill(T-bill) has a holding period yield of 6%, what is the 1-year theoretical spot rate on a bond equivalent basis?

A6.4% B.8.7% C.9,9% D. 12.8%

我算了好久，不知道怎么算，大家帮帮忙，谢谢！

applicatio

50/(1 + 6%) + 1050/(1+X%)^2 = 975

calculate X%: 6.38%

so, 1-year theoretical spot rate on a bond equivalent basis is 2 * 6.38% = 12.76%

xieyingzi

hao

yourworld

能给解释一下为什末这样计算吗？看不大懂。

kimbol

不同意二楼的算法。

我对Treasury bill(T-bill) has a holding period yield of 6%的理解为 annual yield 6%.

975 = 50/(1+6%/2) + 1050/(1+x/2)^2

answer x = 12.9%.

D.

how?

best_tu

QUOTE:

以下是引用kimbol在2007-4-28 0:11:00的发言：

不同意二楼的算法。

我对Treasury bill(T-bill) has a holding period yield of 6%的理解为 annual yield 6%.

975 = 50/(1+6%/2) + 1050/(1+x/2)^2

answer x = 12.9%.

D.

how?

同意!

bluebird00

The period during which you own an investment is called its holding period, and the return for that period is the holding period
return (HPR).

HPR=Ending Value of Investment/Beginning Value of Investment

holding period yield (HPY). The HPY is equal to the HPR minus 1

To derive an annual HPY, you compute an annual HPR and subtract 1. Annual HPR is found by:
       Annual HPR = HPR^1/n, where: n = number of years the investment is held

So, holding period yield of 6% should be semi-annual rate

MrChildren

HPR和HPY就是一个，看notes book1 P107对holding period yield的解释就知道了

2楼的做法正确

ysheen

不好意思，50和1050是哪里来的？

jarodmeng

QUOTE:

以下是引用MrChildren在2007-5-8 10:12:00的发言：

HPR和HPY就是一个，看notes book1 P107对holding period yield的解释就知道了

2楼的做法正确

同意，HPY并没有要求annualize，treasury bill是6个月的话，那么6%就是6个月的yield.

从另外一方面讲，如果答案是12.9%，不可能四舍五入到12.8%，只有12.76％可能round up到12.8％。