s******g
发帖数: 129 | 1 If you have $500 now, within two years it will be $525 under the current 5%
interest rate. There's a probability of 30% the interest rate is going to
hike to 6%, and 50% probability its going to remain the same. There's 20%
chance interest rate will go down to 4%. Question is, will you take the
money now or later, and provide reasoning. |
y***s
发帖数: 23 | 2 猜来着。
如果0.2概率从5%涨到最高6%；0.5的概率remains 5%；0.2的概率hit 到最低4%。那么
这样是不是就抵消了；然后就跟5％一样。但剩下的0.1概率是上涨，所以我们期望说利
率会上涨？ |
n****e
发帖数: 2401 | 3 How to get 525 under 5% rate in 2 years?
%
【在 s******g 的大作中提到】
: If you have $500 now, within two years it will be $525 under the current 5%
: interest rate. There's a probability of 30% the interest rate is going to
: hike to 6%, and 50% probability its going to remain the same. There's 20%
: chance interest rate will go down to 4%. Question is, will you take the
: money now or later, and provide reasoning.
|
s******g
发帖数: 129 | 4 一年...
【在 n****e 的大作中提到】
: How to get 525 under 5% rate in 2 years?
:
: %
|
k*****n
发帖数: 117 | 5 Let V be the price to deliver $100 one year from now,
then V is a function of interest rate r.
The curve is convex.
V
|
|x
| x
| x
| x
| x
| x
| x
+-------------r
You want to compare E[V[R]] with V[5.0%]
Jensen's inequality will only give you E[V[R]] >= V[E[R]] = V[5.1%]
So you need to calculate actual price or calculate bond convexity at 5.0% to
compare.My guess is that E[V[R]] > V[5.0%], meaning current price is cheap
and you should take the money later. i.e. invest money and take R% interest. |
