Aaaashley · 2023年03月30日
NO.PZ2020021204000016
问题如下：
The six-month, 12-month, 18-month, and 24-month zero rates are 5%, 5.5%, 6%, and 6.5% (all measured with semi-annual compounding) respectively. What is the two-year par yield for a bond paying coupons every six months?
选项：
解释：
The par yield is the coupon rate c satisfying
It is 6.46%. Alternatively, we can use Equation . In
this case m= 2, d= 0.8799, and A= 3.7179.
为什么折现的时间没有按照真实的0.5，1，1.5，2而是按照1，2，3，4呢？
NO.PZ2020021204000016 问题如下 The six-month, 12-month, 18-month, an24-month zero rates are 5%, 5.5%, 6%, an6.5% (all measurewith semi-annucompounng) respectively. Whis the two-yepyielfor a bonpaying coupons every six months? The pyielis the coupon rate c satisfyingc/21+0.05/2+c/2(1+0.055/2)2+c/2(1+0.06/2)3+100+c/2(1+0.065/2)4=100\frac{c/2}{1+0.05/2}+\frac{c/2}{{(1+0.055/2)}^2}+\frac{c/2}{{(1+0.06/2)}^3}+\frac{100+c/2}{{(1+0.065/2)}^4}=1001+0.05/2c/2+(1+0.055/2)2c/2+(1+0.06/2)3c/2+(1+0.065/2)4100+c/2=100It is 6.46%. Alternatively, we cuse Equation (cm)A + 100 = 100\left(\frcm\right)A\;+\;100;=\;100(mc)A+100100. Inthis case m= 2, 0.8799, an3.7179. A是怎么计算的？？
NO.PZ2020021204000016 问题如下 The six-month, 12-month, 18-month, an24-month zero rates are 5%, 5.5%, 6%, an6.5% (all measurewith semi-annucompounng) respectively. Whis the two-yepyielfor a bonpaying coupons every six months? The pyielis the coupon rate c satisfyingc/21+0.05/2+c/2(1+0.055/2)2+c/2(1+0.06/2)3+100+c/2(1+0.065/2)4=100\frac{c/2}{1+0.05/2}+\frac{c/2}{{(1+0.055/2)}^2}+\frac{c/2}{{(1+0.06/2)}^3}+\frac{100+c/2}{{(1+0.065/2)}^4}=1001+0.05/2c/2+(1+0.055/2)2c/2+(1+0.06/2)3c/2+(1+0.065/2)4100+c/2=100It is 6.46%. Alternatively, we cuse Equation (cm)A + 100 = 100\left(\frcm\right)A\;+\;100;=\;100(mc)A+100100. Inthis case m= 2, 0.8799, an3.7179. 想请教一下 这个公式考试的时候用计算器应该怎么按出来呀
NO.PZ2020021204000016 这道题是说一个2年的债券，每6，12，18，24个月的zero rate 不同吗？完全读不懂题，能不能吧题干拆解一下，讲解一下呢。谢谢
NO.PZ2020021204000016公示我用对了，小数点后保留4位计算也没算出来答案c的数值
