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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。

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努力的时光都是限量版,加油!

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