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 .pdfVIP

第八章：利率和债券估值

1.

a.P=$1,000/(1+.05/2)⌒=$610.27

20

b.P=$1,000/(1+.10/2)⌒=$376.89

20

c.P=$1,000/(1+.15/2)⌒=$235.41

20

2.a.P=$35({1–[1/(1+.035)]⌒50}/.035)+$1,000[1/(1+.035)⌒50]=$1,000.00

WhentheYTMandthecouponrateareequal,thebondwillsellatpar.

b.P=$35({1–[1/(1+.045)]⌒50}/.045)+$1,000[1/(1+.045)⌒50]=$802.38

WhentheYTMisgreaterthanthecouponrate,thebondwillsellatadiscount.

c.P=$35({1–[1/(1+.025)]⌒50}/.025)+$1,000[1/(1+.025)⌒50]=$1,283.62

WhentheYTMislessthanthecouponrate,thebondwillsellatapremium.

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：Couponrate=$96.96/$1,000=.09696or9.70%

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=.011or1.10%

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=.0106or1.06%

8.(1+R)=(1+r)(1+h)→R=(1+.025)(1+.047)–1=.0732or7.32%

9.(1+R)=(1+r)(1+h)→h=[(1+.17)/(1+.11)]–1=.0541or5.41%

10.(1+R)=(1+r)(1+h)→r=[(1+.141)/(1.068)]–1=.0684or6.84%

Thecouponrateis6.125%.Thebidpriceis:

11.

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买入价=119:19=11919/32=119.59375%$1,000=$1,195.9375

Thepreviousday‘saskpriceisfoundby:

previousday‘saskprice=Today‘saskedprice–Change=11921/32–(–17/32)=1206/32

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前一天的卖出价=120.1875%$1,000=$1,201.875

12.premiumbond

当前收益率=Annualcouponpayment/Askedprice=$75/$1,347.1875=.0557or5.57%

The