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Dearkerry · 2023年03月20日

老师,是否可以列一下每一问的公式啊

NO.PZ2020021204000018

问题如下:

A three-year bond with a face value of USD 100 pays coupons annually at the rate of 10% per year. Its yield is 7% with annual compounding. What are (a) the Macaulay duration, (b) the convexity, (c) the modified duration, and (d) the modified convexity?

选项:

解释:

The Macaulay duration is 2.7458, the convexity is 7.9021,

and the modified duration is

2.7458 / 1.07 = 2.5661

The modified convexity is

7.9021/1.072 = 6.9020

老师,是否可以列一下每一问的计算公式啊。第一问麦考林久期是应该计算平均还款时间,不是很会计算

1 个答案

pzqa27 · 2023年03月21日

嗨,爱思考的PZer你好:


duration=现金流的现值权重*时间 的加总


convexity=现金流的现值权重*时间的平方 的加总


modified convexity讲义上没有写,但是他和modified duration的计算方法一样,等于convexity/(1+利率)


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