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

Monica219 · 2022年05月16日

根据下移最后算出的value是100.779

* 问题详情,请 查看题干

NO.PZ201712110200000401

问题如下:

Based on Exhibits 1 and 2, the effective duration for the AI bond is closest to:

选项:

A.

1.98.

B.

2.15.

C.

2.73.

解释:

B is correct.

The AI bond’s value if interest rates shift down by 30 bps (PV–) is 100.78. The AI bond’s value if interest rates shift up by 30 bps (PV+) is 99.487.

Effective duration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15

不是call at 100吗,100.779大于100,为什么不按100算呢?

1 个答案

lynn_品职助教 · 2022年05月17日

嗨,努力学习的PZer你好:


不是call at 100吗,100.779大于100,为什么不按100算呢?

因为100.779已经是year0的值了,不涉及判断。下图的计算中我标☆号的才涉及判断。



----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 509

    浏览
相关问题

NO.PZ201712110200000401 问题如下 Baseon Exhibits 1 an2, the effective ration for the bonis closest to: A.1.98. B.2.15. C.2.73. B is correct. The bons value if interest rates shift wn 30 bps (PV–) is 100.78. The bons value if interest rates shift up 30 bps (PV+) is 99.487.Effective ration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15 bons value if interest rates shift wn 30 bps (PV–) 我算的不是 100.78,而是101.03854,算了两次都是这样,请问我哪里出错了?

2024-05-11 10:13 1 · 回答

NO.PZ201712110200000401 问题如下 Baseon Exhibits 1 an2, the effective ration for the bonis closest to: A.1.98. B.2.15. C.2.73. B is correct. The bons value if interest rates shift wn 30 bps (PV–) is 100.78. The bons value if interest rates shift up 30 bps (PV+) is 99.487.Effective ration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15 老师您好,我看原教材解析里面都懒得写计算全过程了...... 一般考试中会出现这么繁琐的计算么

2023-10-28 23:13 1 · 回答

NO.PZ201712110200000401问题如下Baseon Exhibits 1 an2, the effective ration for the bonis closest to:A.1.98.B.2.15.C.2.73.B is correct. The bons value if interest rates shift wn 30 bps (PV–) is 100.78. The bons value if interest rates shift up 30 bps (PV+) is 99.487.Effective ration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15对于含权债券如何判断题目给的现金流是否含权,什么时候需要在分母加oas

2023-10-28 09:55 2 · 回答

NO.PZ201712110200000401 问题如下 Baseon Exhibits 1 an2, the effective ration for the bonis closest to: A.1.98. B.2.15. C.2.73. B is correct. The bons value if interest rates shift wn 30 bps (PV–) is 100.78. The bons value if interest rates shift up 30 bps (PV+) is 99.487.Effective ration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15 老师上课说过,OAS是剔除了权利影响的sprea分子的现金流已经包含了权利影响了。那为什么还可以在二叉树的利率上直接加OAS,但是现金流又还是按照初始的coupon rate来计算呢?

2023-07-09 09:42 1 · 回答

NO.PZ201712110200000401 问题如下 Baseon Exhibits 1 an2, the effective ration for the bonis closest to: A.1.98. B.2.15. C.2.73. B is correct. The bons value if interest rates shift wn 30 bps (PV–) is 100.78. The bons value if interest rates shift up 30 bps (PV+) is 99.487.Effective ration=[(PV-)-(PV+)]/[2× (ΔCurve) × (PV0)]= (100.780 - 99.487)/ (2 × 0.003 × 100.200)=2.15 例如上图是辅导老师的解题过程,V+在year2,既然折现率4.9377%小于coupon rate,作为callable,为什么不直接取100呢而是99.7114?

2023-05-31 01:23 1 · 回答