公司理財(cái)學(xué)原理第4章習(xí)題答案(已改無(wú)錯(cuò)字)
2023-07-25 16:42:32 本頁(yè)面
【正文】 5年6月30日5年期，一次還本付息的無(wú)風(fēng)險(xiǎn)債券的實(shí)際收益率為7%時(shí)的名義利率。解：40． 如果“習(xí)題39”中所述債券為每年付息，到期一次還本，其余假設(shè)條件不變，請(qǐng)計(jì)算確保實(shí)際收益率為7%時(shí)的名義利率。解：設(shè)債券面值為1；那么，可以得到確保債券實(shí)際收益率為7%的如下方程式：1= i名/(1+7%)(1+5%/2+7%/2)+i名/(1+7%)2(1+5%/2+7%/2)(1+7%/2+9%/2)+i名/(1+7%)3(1+5%/2+7%/2)(1+7%/2+9%/2)(1+9%/2+10%/2)+i名/(1+7%)4(1+5%/2+7%/2)(1+7%/2+9%/2)(1+9%/2+10%/2)(1+10%+11%/2)+i名/(1+7%)5(1+5%/2+7%/2)(1+7%/2+9%/2)(1+9%/2+10%/2)(1+10%+11%/2)(1+11%/2+8%/2)+1/(1+7%)5(1+5%/2+7%/2)(1+7%/2+9%/2)(1+9%/2+10%/2)(1+10%+11%/2)(1+11%/2+8%/2)=[(i名/(1+7%)4(1+7%/2+9%/2)(1+9%/2+10%/2)(1+10%+11%/2)(1+11%/2+8%/2)+i名/(1+7%)3(1+9%/2+10%/2)(1+10%+11%/2)(1+11%/2+8%/2)+i名/(1+7%)2(1+10%+11%/2)(1+11%/2+8%/2)+i名/(1+7%)(1+11%/2+8%/2)+(1+i名)5+1]247。[(1+7%)5(1+5%/2+7%/2)(1+7%/2+9%/2)(1+9%/2+10%/2)(1+10%+11%/2)(1+11%/2+8%/2)]=[i名+i名+i名+i名+i名+1]247。= i名+i名+i名+i名+i名+1= i名+i名+i名+i名+i名= i名i名=247。=%41． 如果“習(xí)題39”中所述債券為每年付息兩次，到期一次還本，其余假設(shè)條件不變，請(qǐng)計(jì)算確保實(shí)際收益率為7%時(shí)的名義利率。解：1= i名/(1+7%/2)(1+5%/2)+i名/(1+7%/2)2(1+5%/2)(1+7%/2)+ i名/(1+7%/2)3(1+5%/2)(1+7%/2)2+ i名/(1+7%/2)4(1+5%/2)(1+7%/2)2(1+9%/2)+ i名/(1+7%/2)5(1+5%/2)(1+7%/2)2(1+9%/2)2+ i名/(1+7%/2)6(1+5%/2)(1+7%/2)2(1+9%/2)2(1+10%/2)+ i名/(1+7%/2)7(1+5%/2)(1+7%/2)2(1+9%/2)2(1+10%/2)2+ i名/(1+7%/2)8(1+5%/2)(1+7%/2)2(1+9%/2)2(1+10%/2)2(1+11%/2)+ i名/(1+7%/2)9(1+5%/2)(1+7%/2)2(1+9%/2)2(1+10%/2)2(1+11%/2)2+ i名/(1+7%/2)10(1+5%/2)(1+7%/2)2(1+9%/2)2(1+10%/2)2(1+11%/2)2(1+8%/2)+1/(1+7%/2)10(1+5%/2)(1+7%/2)2(1+9%/2)2(1+10%/2)2(1+11%/2)2(1+8%/2)= [i名(1+7%/2)9(1+7%/2)2(1+9%/2)2(1+10%/2)2(1+11%/2)2(1+8%/2)+ i名(1+7%/2)8(1+7%/2)(1+9%/2)2(1+10%/2)2(1+11%/2)2(1+8%/2)+ i名(1+7%/2)7(1+9%/2)2(1+10%/2)2(1+11%/2)2(1+8%/2)+ i名(1+7%/2)6(1+9%/2)(1+10%/2)2(1+11%/2)2(1+8%/2)+ i名(1+7%/2)5(1+10%/2)2(1+11%/2)2(1+8%/2)+ i名(1+7%/2)4(1+10%/2)(1+11%/2)2(1+8%/2)+ i名(1+7%/2)3(1+11%/2)2(1+8%/2)+ i名(1+7%/2)2(1+11%/2)(1+8%/2)+ i名(1+7%/2)(1+8%/2)+1] /(1+7%/2)10(1+5%/2)(1+7%/2)2(1+9%/2)2(1+10%/2)2(1+11%/2)2(1+8%/2)= [i名+ i名+ i名+ i名+ i名+ i名+ i名+ i名+ i名+ i名+1]/= i名＋1半年的名義利息率：i名=(－1)247。=%折算為全年的名義利息率：i名= (1+%)21=%42． 假設(shè)預(yù)測(cè)10年內(nèi)的年通貨膨脹率如下表：年 份12345678910通貨膨脹率5%3%1%0%4%6%7%8%10%10%試確定票面利息率為8%的，一次還本付息的，10年期無(wú)風(fēng)險(xiǎn)債券的實(shí)際收益率。解： 無(wú)風(fēng)險(xiǎn)債券的實(shí)際收益率=(1+8%)/(1+%)1=%43． 如果“習(xí)題42”中所述債券為每年付息，到期一次還本，其余假設(shè)條件不變，請(qǐng)計(jì)算該債券的實(shí)際收益率。解：1=8%/(1+i)(15%)+8%/(1+i)2(15%)(13%)+8%/(1+i)3(15%)(13%)(11%)+8%/(1+i)4(15%)(13%)(11%)(1+0)+8%/(1+i)5(15%)(13%)(11%)(1+0)(1+4%)+8%/(1+i)6(15%)(13%)(11%)(1+0)(1+4%)(1+6%)+8%/(1+i)7(15%)(13%)(11%)(1+0)(1+4%)(1+6%)(1+7%)+8%/(1+i)8(15%)(13%)(11%)(1+0)(1+4%)(1+6%)(1+7%)(1+8%)+8%/(1+i)9(15%)(13%)(11%)(1+0)(1+4%)(1+6%)(1+7%)(1+8%)(1+10%)+8%/(1+i)10(15%)(13%)(11%)(1+0)(1+4%)(1+6%)(1+7%)(1+8%)(1+10%)(1+10%)+1/(1+i)10(15%)(13%)(11%)(1+0)(1+4%)(1+6%)(1+7%)(1+8%)(1+10%)(1+10%)=8%/(1+i)+8%/(1+i)+8%/(1+i)+8%/(1+i)+8%/(1+i)
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