罗斯公司理财第九版第八章课后答案对应版(英汉)金融专硕复习.docVIP

第八章：利率和债券估值 1. a. P = $1,000/(1 + .05/2)⌒20 = $610.27 b. P = $1,000/(1 + .10/2)⌒20 = $376.89 c. P = $1,000/(1 + .15/2)⌒20 = $235.41 2.a. P = $35({1 – [1/(1 + .035)]⌒50 } / .035) + $1,000[1 / (1 + .035)⌒50]= $1,000.00 When the YTM and the coupon rate are equal, the bond will sell at par. b. P = $35({1 – [1/(1 + .045)]⌒50 } / .045) + $1,000[1 / (1 + .045)⌒50]= $802.38 When the YTM is greater than the coupon rate, the bond will sell at a discount. c. P = $35({1 – [1/(1 + .025)]⌒50 } / .025) + $1,000[1 / (1 + .025)⌒50]= $1,283.62 When the YTM is less than the coupon rate, the bond will sell at a premium. 3. P = $1,050 = $39(PVIFAR%,20) + $1,000(PVIFR%,20) R = 3.547% YTM = 2 *3.547% = 7.09% 4. P = $1,175 = C(PVIFA3.8%,27) + $1,000(PVIF3.8%,27) C = $48.48 年收益：2 × $48.48 = $96.96 则票面利率：Coupon rate = $96.96 / $1,000 = .09696 or 9.70% 5. P = €84({1 – [1/(1 + .076)]⌒15 } / .076) + €1,000[1 / (1 + .076)⌒15] = €1,070.18 6. P = ￥87,000 = ￥5,400(PVIFAR%,21) + ￥100,000(PVIFR%,21) R = 6.56% 7. 近似利率为：R = r + h= .05 –.039 =.011 or 1.10% 根据公式(1 + R) = (1 + r)(1 + h) → (1 + .05) = (1 + r)(1 + .039) 实际利率 = [(1 + .05) / (1 + .039)] – 1 = .0106 or 1.06% 8. (1 + R) = (1 + r)(1 + h)→R = (1 + .025)(1 + .047) – 1 = .0732 or 7.32% 9. (1 + R) = (1 + r)(1 + h)→h = [(1 + .17) / (1 + .11)] – 1 = .0541 or 5.41% 10. (1 + R) = (1 + r)(1 + h)→r = [(1 + .141) / (1.068)] – 1 = .0684 or 6.84% 11. The coupon rate is 6.125%. The bid price is: 买入价 = 119:19 = 119 19/32 = 119.59375%??$1,000 = $1,195.9375 The previous day‘s ask price is found by: previous day‘s ask price = Today‘s asked price – Change = 119 21/32 – (–17/32) = 120 6/32 前一天的卖出价= 120.1875% ??$1,000 = $1,201.875 12. premium bond 当前收益率 = Annual coupon payment / Asked price = $75/$1,347.1875 = .0557 or 5.57% The YTM is located under the ―Asked yield‖ column, so the YTM is 4.4817%. Bid-Ask spread = 134:23 – 134:22 = 1/32 13. P = C(PVIFAR%,t) + $1,000(PVIFR%,t) 票面利率为9%： P0 = $45(PVIFA3.5%,26) + $1,000(PVIF3.5%,26) = $1,168.90 P1 = $45(PVIFA3.5%,