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beiweiy · 2022年05月19日

这个题ERA为什么不用除以12?

NO.PZ2016082402000001

问题如下:

An investor buys a Treasury bill maturing in one month for $987. On the maturity date the investor collects $1,000. Calculate effective annual rate (EAR).

选项:

A.

17.0%

B.

15.8%

C.

13.0%

D.

11.6%

解释:

ANSWER: A

The EAR is defined byFVPV=(1+EAR)T\frac{FV}{PV}={(1+EAR)}^T . So (FVPV)1T1{(\frac{FV}{PV})}^\frac1T-1  EAR =  . Here, T = 1/12. So, EAR =   (1,000987)121=17.0%\;{(\frac{1,000}{987})}^{12}-1=17.0\%

一个月到期,不是说明一个月结一次么,一年就得是12次?

1 个答案

李坏_品职助教 · 2022年05月19日

嗨,爱思考的PZer你好:


EAR的意思是,有效年利率,不是月利率。


这个题目告诉你T-bill还剩下一个月到期(maturing in one month),所以我们得把这一个月的收益率按照年化去复利(连续复利,也就是12次方)折算成年利率,才是EAR。

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