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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

  1. FRM I
  2. Financial Markets And Products

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

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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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