FRM一级试题：金融市场估值与风险建模1

　　1.Market rates are currently 5%.A$1,000 par corporate bond carries a coupon rate of 6%,pays coupons semiannually,and has ten coupon payments remaining to maturity.There are 90 days between settlement and the next coupon payment.Which of the following is closest to the dirty and clean prices of the bond？

　　A.$1,043.76,$1,013.76

　　B.$1,043.76,$1,028.76

　　C.$1,056.73,$1,041.73

　　D.$1,069.70,$1,054.70

　　Answer:C

　　The dirty price of the bond 90 days ago is calculated as N=10;I/Y=2.5;PMT=30;FV=1,000;CPT→PV=1,043.76.Adjusting the PV for the fact that there are only 90 days until the receipt of the first coupon,then the dirty price now is.　　

　　更多资讯可关注FRM官方微信：“gaodunfrm”或加入FRM考试QQ交流群：153301485！若需引用或转载本文章请保留此处信息。