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十种笠 · 2022年08月14日

答案完全没看懂，什么是frac

  1. CFA II
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201602270200002104

问题如下：

4. The effective duration of Bond #4 is closest to:

选项：

A.

0.76.

B.

1.88.

C.

3.77.

解释：

B is correct.

The effective duration of Bond #4 can be calculated using Equation 3 from the reading, where Δ Curve is 20 bps, PV– is 101.238, and PV+ is 100.478. PV0PV_0, the current full price of the bond (i.e., with no shift), is not given but it can be calculated using Exhibit 3 as follows:

S= Interest Rate Scenario

C=Cash Flow (% of par)

R=One-year Interest rate (%)

V= Value of the Callable Bond’s Future Cash Flows (% of par)

Thus, the effective duration of Bond #4 is:

Effective duration = frac101.238−100.4782×(0.0020)×(100.873)=1.88frac{101.238-100.478}{2\times(0.0020)\times(100.873)}=1.88

1、提供考点相关内容并解析，怎么和我这边的公式好像不太对的上

2、什么是frac，麻烦负责地解析答案

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pacermiller31 · 2022年11月12日

这个答案确实太糟糕了

1 个答案

pzqa015 · 2022年08月15日

嗨，努力学习的PZer你好：


这道题考察的是计算ED

根据二叉树，计算出当前bond 4 的V0=100.873

表4已知了利率上涨20Bp和下降20bp时的债券价格V-和V+，

ED=(V--V+)/2V0△y=（101.238-100.478）/2*100.873*20bp=1.88

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ201602270200002104 问题如下 4. The effective ration of Bon#4 is closest to: A.0.76. B.1.88. C.3.77. B is correct.The effective ration of Bon#4 ccalculateusing Equation 3 from the reang, where Δ Curve is 20 bps, PV– is 101.238, anPV+ is 100.478. PV0PV_0PV0​, the current full priof the bon(i.e., with no shift), is not given but it ccalculateusing Exhibit 3 follows: S= Interest Rate ScenarioC=Cash Flow (% of par)R=One-yeInterest rate (%)V= Value of the Callable Bons Future Cash Flows (% of par)Thus, the effective ration of Bon#4 is:Effective ration = frac101.238−100.4782×(0.0020)×(100.873)=1.88frac{101.238-100.478}{2\times(0.0020)\times(100.873)}=1.88frac101.238−100.4782×(0.0020)×(100.873)=1.88 用二叉树计算callable bonfull price结果是大于100 的。此时full price不用遵循callable par?

2023-08-17 06:40 1 · 回答

NO.PZ201602270200002104问题如下4. The effective ration of Bon#4 is closest to:A.0.76.B.1.88.C.3.77.B is correct.The effective ration of Bon#4 ccalculateusing Equation 3 from the reang, where Δ Curve is 20 bps, PV– is 101.238, anPV+ is 100.478. PV0PV_0PV0​, the current full priof the bon(i.e., with no shift), is not given but it ccalculateusing Exhibit 3 follows: S= Interest Rate ScenarioC=Cash Flow (% of par)R=One-yeInterest rate (%)V= Value of the Callable Bons Future Cash Flows (% of par)Thus, the effective ration of Bon#4 is:Effective ration = frac101.238−100.4782×(0.0020)×(100.873)=1.88frac{101.238-100.478}{2\times(0.0020)\times(100.873)}=1.88frac101.238−100.4782×(0.0020)×(100.873)=1.88题目中二叉树，是不是里面所有含权债券都适用这个二叉树

2023-03-25 14:17 1 · 回答

NO.PZ201602270200002104

2022-01-20 17:23 1 · 回答

可是callable bon不是最后的答案不能超过100吗？

2020-01-30 20:34 1 · 回答