金融学 第二版 兹维.博迪 罗伯特C默顿等著Bodie2_IM_Ch08.pdfVIP

CHAPTER 8 - Valuation of Known Cash Flows: Bonds End-of-Chapter Problems 1. Suppose you purchase a Treasury bill that matures in three months. The bill is a pure discount instrument paying its face value of $100,000 at maturity. If the bill is priced to yield 1% over the three months, or an APR of 4% with quarterly compounding, what is it’s current selling price? Convert the bill’s yield into an effective annual rate. Solution: 100000 Discounting the face value by the 1% rate of return we arrive at the selling price of = 99009.901 11%+ The effective annual rate is: m 4 ? APR? ? 4%? EFF= ? 1 + ? ? 1 ?1 + ? ? 1 = 0.0406 4.06% ? m ? ? 4 ? 2. Suppose you decide to sell the Treasury bill from the previous problem one month after you purchased it. At the time of the sale suppose the bill is priced to yield ? of 1 % over the remaining 2 months. What was your rate of return on the one-month investment quoted as an effective annual rate? Solution: 100000 Discounting the face value by 0.0075 we arrive at the new selling price of = 99255.583 1+ 0.75% 99255.583? 99009.901 The one-month rate of return earned was = 0.0025 or 1/4 of 1% over one month. 99009.901 The effective annual rate is then: m 12 ? APR? ? 0.0025? 12 ? EFF= ? 1 + ? ? 1 ?1