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

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:

pr evious 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%,24) + $1,000(PVIF3.5%,24) = $1,160.58

P3 = $45(PVIFA3.5%,20) + $1,000(PVIF3.5%,20) = $1,142.12

P8 = $45(PVIFA3.5%,10) + $1,000(PVIF3.5%,10) = $1,083.17

P12 = $45(PVIFA3.5%,2) + $1,000(PVIF3.5%,2) = $1,019.00

P13 = $1,000

票面利率为7%：

P0 = $35(PVIFA4.5%,26) + $1,000(PVIF4.5%,26) = $848.53

P1 = $35(PVIFA4.5%,24) + $1,000(PVIF4.5%,24) = $855.05

P3 = $35(PVIFA4.5%,20) + $1,000(PVIF4.5%,20) = $869.92