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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。

  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?

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。

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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

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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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