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咖啡巧克力 · 2023年12月17日

答案为何不是2.8220?

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000046

问题如下：

Consider a bond that has three years remaining to maturity, a coupon of 4% paid semiannually, and a yield-to-maturity of 4.60%. Assuming it is 12 days into the first coupon period and a 30/360 basis, the bond’s annualized Macaulay duration is closest to:

选项：

A.

1.8764 years.

B.

2.8386 years.

C.

2.8553 years.

解释：

B is correct.


答案为何不是2.8220?

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1 个答案

吴昊_品职助教 · 2023年12月18日

嗨，努力学习的PZer你好：


这道题是原版书课后题，由于今年一级固收所有的题都是协会全新出的，难免出现bug，才会有表格得数和选项不一致的情况。目前协会还没有出勘误，我们后期会关注这个问题。

同学目前掌握好麦考利久期的计算原则就好。

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