Ethan橙 · 2023年10月27日
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?
选项：
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
convexity 和modified convextiy 要会计算么
NO.PZ2020021204000018问题如下A three-yebonwith a favalue of US100 pays coupons annually the rate of 10% per year. Its yielis 7% with annucompounng. Whare (the Macaulration, (the convexity, (the mofieration, an( the mofieconvexity?The Macaulration is 2.7458, the convexity is 7.9021,anthe mofieration is2.7458 / 1.07 = 2.5661The mofieconvexity is7.9021/1.072 = 6.9020 修正久期凸性的计算，这道题的解题步骤对吗？
NO.PZ2020021204000018问题如下A three-yebonwith a favalue of US100 pays coupons annually the rate of 10% per year. Its yielis 7% with annucompounng. Whare (the Macaulration, (the convexity, (the mofieration, an( the mofieconvexity?The Macaulration is 2.7458, the convexity is 7.9021,anthe mofieration is2.7458 / 1.07 = 2.5661The mofieconvexity is7.9021/1.072 = 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
NO.PZ2020021204000018问题如下A three-yebonwith a favalue of US100 pays coupons annually the rate of 10% per year. Its yielis 7% with annucompounng. Whare (the Macaulration, (the convexity, (the mofieration, an( the mofieconvexity?The Macaulration is 2.7458, the convexity is 7.9021,anthe mofieration is2.7458 / 1.07 = 2.5661The mofieconvexity is7.9021/1.072 = 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。
NO.PZ2020021204000018 问题如下 A three-yebonwith a favalue of US100 pays coupons annually the rate of 10% per year. Its yielis 7% with annucompounng. Whare (the Macaulration, (the convexity, (the mofieration, an( the mofieconvexity? The Macaulration is 2.7458, the convexity is 7.9021,anthe mofieration is2.7458 / 1.07 = 2.5661The mofieconvexity is7.9021/1.072 = 6.9020 老师，是否可以列一下每一问的计算公式啊。第一问麦考林久期是应该计算平均还款时间，不是很会计算
