Exam (elaborations)
Klausuraufgaben und Lösungen
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Verschiedene Aufgaben von Altklausuren zusammengestellt
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Aufgabe 2a) Ermitteln Sie den theoretischen Kurswert der Anleihe. RLZ = 6 Jahre, zu pari, Kupon 3,25%
risikoloser Zinssatz 2%.
I i +5 1
3,25
po =
+
1023+
+ +
107
=
b) welchen Kurswert hätte die hier betrachtete Anleihe bei einem
b1) Kapitalmarktzins von 0,00%
b2) Kapitalmarktzins von 3,25%
5,25
31253125 3,25 3,25 103125
Be Po =
+
1102
t
1103
t
1104
t
1105
t
100 119,5
=
3,25 3,25 3,25 103,25
b2 40 1+1,03252 1,03253
= +
I
1103254 153255 1,03256 100
+ +
=
c) Bestimmen Sie die laufende Rendite deren Abweichung von der Effektivverzinsung. Worin
liegt der Grund für diese Abweichung?
Laufende Rendite:
p I25 =
=
3,04%
Rückz. KUTS -
Ankaufk.
inomt
Effektivverzinslig:y
I
=
Ankalifkurs
3,25
100 6 107
+
-
y 1,9470%
=
=
107
Probe:Po
=
1 +nzz+niges nongt ringst sie
=107,31 1074 kleine Abweichling
ungenal
1194% etwas zu niedrig
=
d) Bestimmen Sie die modifizierte Duration der betrachteten Anleihe
Diod (H = -
=17. Macaulay-Dur.
Macaulay-Dut.:
1325+42 3825+++6 +
D 5,565 Jahre
=
=
107
Dmod 1102:5,565
=
5,456
=
e) Welche Restlaufzeit muss ein Zerobond haben, der dieselbe modifizierte Duration wie die
betrachtete Anleihe aufweist?
D RLZ
=
5,456 102.D
=
1:oz
5,565 D
=
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