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
认为自己计算完全没有错误了,但是答案不对。烦请列一下步骤。谢谢