Assume that a binomial interest-rate tree indicates a 6-month period spot rate of 2.5%and the price of the bond if rates decline is $ 98.45，and if rates increase is $ 96.The risk-neutral probabilities respectively associated with a decline and increase in rates if the market price of the bond is $ 97 correspond to:
A: 0.1/0.9.
B: 0.9/0.1.
C: 0.2/0.8.
D: 0.8/0.2.
A: 0.1/0.9.
B: 0.9/0.1.
C: 0.2/0.8.
D: 0.8/0.2.
举一反三
- Is an option-free bond’s price sensitivity positively correlated with the: Bond’s coupon rate Level of market interest rates（） A: NO NO B: NO YES C: YES NO
- A3-year bond offers a 10% coupon rate with interest paid annually. Assuming the following sequence of spot rates, the price of the bond is closest to: Time Spot Rates 1yesr 8.0% 2yesr 9.0% 3yesr 9.5% A: 96.98. B: 101.46. C: 102.95.
- According<br/>to the expectations hypothesis, an upward-sloping yield curve implies<br/>that ________ A: interest<br/>rates are expected to remain stable in the future. B: interest<br/>rates are expected to decline in the future. C: interest<br/>rates are expected to increase in the future. D: interest<br/>rates are expected to decline first, then increase. E: interest<br/>rates are expected to increase first, then decrease.
- 【单选题】An upward-sloping term structure of interest rates indicates that: A. longer-term rates are higher than shorter-term rates B. investors should expect interest rates to decline in the future C. short and intermediate term rates are real rates while long term rates are nominal rates D. the Fed is expected to decrease rates in the near term E. the larger the investment in dollars, the higher the interest rate paid
- As the coupon rate of a bond increases, the bond's:() A: face value increases B: current price decreases C: interest payments increase D: maturity date is extended