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Anny Yang · 2023年10月16日

数计算出来不一样呀

NO.PZ2018062010000027

问题如下:

The discount rate of a 180-day banker’s acceptance for a 360-day year quoted at a bond equivalent yield of 6.72% is closest to:

选项:

A.

6.62%

B.

6.51%

C.

6.42%

解释:

C is correct.

Bond equivalent yield (BEY) for money market security is yield stated on a 365-day add-on rate basis.

lBEY=365180100PVPV=6.72%{l}BEY=\frac{365}{180}\ast\frac{100-PV}{PV}=6.72\%\\\\

PV=96.79

PV=100*[1-(180/360)*discount rate]=96.79

discount rate=0.0642

考点:BEY

解析:本题考点是discount yield和BEY之间的转换。我们通过BEY反求出PV,即PV=96.79。注意BEY中的year要代入365,因为BEY是365天的AOR。

有了FV和PV再代入上述第二个公式从而算得discount yield,即discount rate=0.0642。注意,discount yield中Year应该代入题目已知条件360。

100*(1-0.0672*(180/360))=96.64 ((100-96.64)/96.64)*(365/180)=0.0705 怎么我算的数是这么多?按了几遍计算器都是这么多呀

1 个答案

吴昊_品职助教 · 2023年10月16日

嗨,爱思考的PZer你好:


你的问题在于BEY这个公式中year代入的是360。应该代入的是365。而后面的discount rate又代入了365,应该代入的是360.

这道题6.72%是BEY,要我们求的是discount rate,也就是已知BEY反求discount rate。

1、第一步算PV

(100-PV)/PV=6.72%×180/365=3.31%

100/PV-1=3.31%

100/PV=1.033

PV=96.79

2、有了PV之后,反求discount rate

PV = FV * (1- discount rate * 180/360)

1-DR*0.5=96.79/100=0.9679

DR=0.0642

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