开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Archie · 2022年05月08日

计算问题

NO.PZ2019070101000093

问题如下:

The table provides relevant information about four bonds in a portfolio, based on the table, the price change for the 8% bond using effective duration if its YTM decreases by 10 basis points is close to?

选项:

A.

$211,601.25.

B.

$223,532.12.

C.

$219,156.99.

D.

$209,111.50.

解释:

A is correct

考点:Bond Duration-DV01

解析:

对于8% bond:

market value=105×0.25×1,000,000=26,250,000

[(-8×-0.001) + (0.5×122×0.001^2)] *26,250,000 = $211,601.25

老师我计算过程一样,但是为啥子-8x0.001+0.5×122×0.001平方,算出来-0.007939,不是0.008061,是我计算器出现什么问题了咩

1 个答案

李坏_品职助教 · 2022年05月09日

嗨,从没放弃的小努力你好:


我也按了一下计算器,是211601.25没什么问题啊。你在用计算器的时候记得看清楚括号,可以先按括号里的数字,比如先按0.001,^2,然后乘以0.5 * 122,把这个数字记下来。再按-8 * -0.001,再记一下。然后加起来。

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 372

    浏览
相关问题

NO.PZ2019070101000093问题如下The table provis relevant information about four bon in a portfolio, baseon the table, the prichange for the 8% bonusing effective ration if its YTM creases 10 basis points is close to?A.$211,601.25.B.$223,532.12.C.$219,156.99.$209,111.50. A is correct考点Bonration-01解析问8%的债券,如果YTM下降10bp,价格变化是多少?首先,计算coupon rate为8%的债券的市值market value=价格*权重*面值=105×0.25×1,000,000=26,250,000再计算价格变动,YTM change=-10bp=-0.001prichange($)=[(-effective ration*YTM change)+(1/2*convexity*(YTMchange2)]*market value=[(-8×-0.001) + (0.5×122×0.0012)] *26,250,000 = $211,601.25 老师好,您在别的同学问题下回答“计算coupon rate为8%的债券的市值market value=价格*权重*面值=105×0.25×1,000,000=26,250,000”请问哪里能get到面值是100万啊?

2024-07-18 22:15 3 · 回答

NO.PZ2019070101000093问题如下The table provis relevant information about four bon in a portfolio, baseon the table, the prichange for the 8% bonusing effective ration if its YTM creases 10 basis points is close to?A.$211,601.25.B.$223,532.12.C.$219,156.99.$209,111.50. A is correct考点Bonration-01解析问8%的债券,如果YTM下降10bp,价格变化是多少?首先,计算coupon rate为8%的债券的市值market value=价格*权重*面值=105×0.25×1,000,000=26,250,000再计算价格变动,YTM change=-10bp=-0.001prichange($)=[(-effective ration*YTM change)+(1/2*convexity*(YTMchange2)]*market value=[(-8×-0.001) + (0.5×122×0.0012)] *26,250,000 = $211,601.25 那里给了favalue

2024-07-05 13:10 1 · 回答

NO.PZ2019070101000093问题如下The table provis relevant information about four bon in a portfolio, baseon the table, the prichange for the 8% bonusing effective ration if its YTM creases 10 basis points is close to?A.$211,601.25.B.$223,532.12.C.$219,156.99.$209,111.50. A is correct考点Bonration-01解析问8%的债券,如果YTM下降10bp,价格变化是多少?首先,计算coupon rate为8%的债券的市值market value=价格*权重*面值=105×0.25×1,000,000=26,250,000再计算价格变动,YTM change=-10bp=-0.001prichange($)=[(-effective ration*YTM change)+(1/2*convexity*(YTMchange2)]*market value=[(-8×-0.001) + (0.5×122×0.0012)] *26,250,000 = $211,601.25 这个怎么能知道要加上二阶导的影响?我看有的题effective ration就算了ration,没加上曲度的影响。

2023-08-03 14:35 1 · 回答

NO.PZ2019070101000093问题如下The table provis relevant information about four bon in a portfolio, baseon the table, the prichange for the 8% bonusing effective ration if its YTM creases 10 basis points is close to?A.$211,601.25.B.$223,532.12.C.$219,156.99.$209,111.50. A is correct考点Bonration-01解析问8%的债券,如果YTM下降10bp,价格变化是多少?首先,计算coupon rate为8%的债券的市值market value=价格*权重*面值=105×0.25×1,000,000=26,250,000再计算价格变动,YTM change=-10bp=-0.001prichange($)=[(-effective ration*YTM change)+(1/2*convexity*(YTMchange2)]*market value=[(-8×-0.001) + (0.5×122×0.0012)] *26,250,000 = $211,601.25 我记得之前讲的公式是用-(mofieration) *P*价格变化+1/2C*P*(价格变化)的平方。没说过用effective ration, 麻烦请确认一下到底应该用哪个ration?感谢!

2023-03-19 05:06 1 · 回答