UC知道债券收益率的问题 求解
来源：百度知道 编辑：UC知道 时间：2024/07/07 08:18:44
Given the information below, please calculate the profits of the following treasury STRIPS.
Treasury STRIPS: based on a 3-year treasury with coupon rate of 10% and par value of $1,000. (The coupon payment is made semiannually.)
US Treasury Bonds
Maturity Yield (%)
6 Month 2.00
1 year 2.50
1.5 Year 3.00
2 Year 3.50
2.5 Year 4.00
3 Year 5.00
Treasury STRIPS: based on a 3-year treasury with coupon rate of 10% and par value of $1,000. (The coupon payment is made semiannually.)
US Treasury Bonds
Maturity Yield (%)
6 Month 2.00
1 year 2.50
1.5 Year 3.00
2 Year 3.50
2.5 Year 4.00
3 Year 5.00
题目问的是profits,既然已经给出了每个期限Zero coupon treasury的收益率了
我的理解是要计算每一只STRIPS的绝对收益
也就是单只STRIPS价格与面值的差
所以首先把这只三年期有息债券的现金流（即每只STRIPS的面值）列出来：
50；50；50；50；50；1050 （每半年付息一次）
分别用给出期限的Yield来折现，得出每只STRIPS的价格：
6 Month：50/（1+2%/2）=49.5050
1 year： 50/（1+2.5%）=48.7805
1.5 Year：50/(1+3%)^1.5=47.8315
2 Year: 50/(1+3.5%)^2=46.6755
2.5 Year: 50/(1+4%)^2.5=45.3301
3 Year: 1050/(1+5%)^3=907.0295
所以每只的Profit就是：
6 Month 0.4950
1 year 1.2195
1.5 Year 2.1685
2 Year 3.3245
2.5 Year 4.6699
3 Year 142.9705