这个作业是为投资债券等金融产品指定策略
Professional Development in Finance: Week Nine

第1部分
我们最近收到的信息表明,在未来三到五年内,
客户资金的退休人数将比我们通常看到的要多。所以,
该基金已要求我们帮助他们制定一项策略,以促进向这些机构支付更高的费用
会员,也避免了一些较大的交易费用。我的上司要求我们跑步
固定收益策略的收益数。
我们正在考虑投资在7年内到期,具有和
年息率为1.8%,使半年度息票面额为1000。
a)计算并报告债券现金流量。评论这些现金流量可能如何
优于股利股息或其他利润。
b)如果债券的收益率等于1.8,请计算并报告我们应该期望的价格。
c)我们目前的估计表明,债券的到期收益率应为1.45%。
计算并报告息票付款的当前折现值。
d)计算并报告单个债券本金的折现值。
e)计算并报告债券的报价(按面值的百分比)。包括一到两个
解释债券价格的句子。假设YTM为1.45%。
f)评论债券当前是溢价交易还是折价交易。
解释你的论点。如果我们认为YTM没有变化,我们应该期望债券的价格吗
一年后上升还是下降?
g)进行一些情景分析。如果市场条件发生变化,YTM将是什么?
债券的价格变为100.97?用一到两句话解释关系
在债券价格和YTM之间。
h)在当前的经济形势下,我们的办公室预测利率将在
下一年。提供两到三个句子,解释我们为什么会这样认为。
进行一些其他方案分析。计算并报告价格
如果一年内YTM等于1.25%,则为保证金。
i)计算并报告第一年的投资收益(使用
e部分)。
j)如果我们有更乐观的前景,请评论如果收益率保持不变将带来的回报
为1.45%。用一两个句子描述一些影响形状的因素
收益率曲线和美联储的作用。在当前的经济环境中,评论
激励美联储决定的因素。

Part 2
We could also allocate a portion of the pension fund’s portfolio to one-year zero coupon bonds.
Instead of buying a seven-year bond like we did in part one, we could buy a series of one-year
zero bonds for which we roll over the total proceeds into new bonds. Under this strategy, we
would reinvest the whole amount when the investment matures.
a) In one to two sentences, explain why zero coupon bond investment might be a useful
strategy for our pension fund clients’ financial needs. In one or two sentences, describe
some of the risks associated with this kind of strategy. You are welcome to do some
internet research to answer this question, but as always, correctly cite the source of
your information.
b) Compute and report the implied 1-year forward rates 𝑓2 and 𝑓3, if our office assumes
the current yield curve for zero-coupon bonds is: 𝑦1 = 0.4%, 𝑦2 = 1%, 𝑦3 = 1.5% (spot
rates).
c) If we assume that future short rates (i.e. that future short rates or 1-year yields) will be
equal to the current forward rates with certainty (i.e. future short term interest rates
will be equal to your 𝑓2 and 𝑓3), compute and report what the yields to maturity on 1-
and 2- year zero coupon bonds will be in one year.
d) Consider the strategy of rolling over shorter term bonds. If the forward rates do
prevail, and we make an initial investment of $1000 at the beginning of year 1, how
many dollars will the investment have earned at the end of year 3? Assume for
simplicity that we are using annual compounding and that each year we can reinvest
at these rates.
e) Compute and report today’s price of a 3-year zero coupon bond with a par value of
$1000. Compute and report the price of this bond next year (when it will be a 2-year
zero coupon bond). Compute and report the rate of return on this bond over the next
year.


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