题目:
The relevant 1-year,2-year, and 3-year spot rates are 3.25% ,3.35%, and 3.65%. A 3-year annual-pay bond with a 7% coupon rate and a $10000 face value is priced at $10850. What is the amount of potential arbitrage profit available from the mis-pricing of this bond
A.
A. $ 206. |
B.
B. $ 86. |
C.
C. $ 92. |
答案:
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参考答案:简化特尔裴法