问题
单项选择题
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
参考答案：C
解析：The fair price of the bond is 700/1.0325+700/1.03352+10700/1.03653=$10942.The arbitrage profits available are $ 92.