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上小学 · 2023年04月11日

请问麦考林久期计算结果不同于答案,烦请写写具体步骤参数,找出错误,谢谢。

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?

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

自认为与讲义公布公式一致,但是答案计算多次不对,找不到原因。

2 个答案
已采纳答案

pzqa27 · 2023年04月11日

嗨,从没放弃的小努力你好:


IY怎么能是0.07呢,直接按7就可以了

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

上小学 · 2023年04月11日

谢谢,忘得真快啊。

pzqa27 · 2023年04月11日

嗨,爱思考的PZer你好:


如图第一列是现金流,107.87是债券的PV,第二列是折现后的现金流,第三列是权重,用折现后的现金流/PV即可,第四列是时间,第五列是权重*时间,2.745757是加总的结果,就是duration

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

上小学 · 2023年04月11日

谢谢您快速回答,但是我用计算器计算债券限值是129,74。PMT 10,N3,FV 100,IY 0,07。您看有啥问题吗。

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