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咖啡巧克力 · 2024年03月30日

FV 应该是100还是102.35?

NO.PZ2023052301000051

问题如下:

A bond pays a semiannual fixed coupon of 4.70%. It trades at par on its coupon date of 16 December 2025 and matures on 16 December 2033. The bond’s annualized convexity statistic is closest to:

选项:

A.

51.670

B.

53.231

C.

206.681

解释:

A is correct.


par rate =YTM 的前提是 PV=FV。如果FV为102.35, YTM就不是2.35%

1 个答案

吴昊_品职助教 · 2024年03月30日

嗨,从没放弃的小努力你好:


FV的意思是face value,也就是债券的面值,通常不是100就是1000.

102.35是最后一笔现金流(表头是cash flow),包含两部分,一部分是最后一期利息2.35,另一部分就是本金100,债券的最后一笔现金流,不单单要支付每一期的coupon,还要还本。

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努力的时光都是限量版,加油!

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