请问，答案后半解释是怎么计算的？

NO.PZ2020021204000016

问题如下：

The six-month, 12-month, 18-month, and 24-month zero rates are 5%, 5.5%, 6%, and 6.5% (all measured with semi-annual compounding) respectively. What is the two-year par yield for a bond paying coupons every six months?

选项：

解释：

The par yield is the coupon rate c satisfying

$\frac{c/2}{1+0.05/2}+\frac{c/2}{{(1+0.055/2)}^2}+\frac{c/2}{{(1+0.06/2)}^3}+\frac{100+c/2}{{(1+0.065/2)}^4}=100$

It is 6.46%. Alternatively, we can use Equation $\left(\frac cm\right)A\;+\;100d\;=\;100$ . In

this case m= 2, d= 0.8799, and A= 3.7179.

d、A是怎么计算的？？

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已采纳答案

pzqa27 · 2024年06月28日

嗨，从没放弃的小努力你好：

c = (100 - 100d)m / A。这里A指的是每一期都支付1USD的年金的现值。也就是A = 1/(1+0.05/2) + 1/(1+0.055/2)^2 + 1/(1+0.06/2)^3 + 1/(1+0.065/2)^4 = 3.718

d是在债券到期日收到1USD的现值，所以d = 1/(1+0.065/2)^4 = 0.8799，m是利息支付的频率，题目说了是semi annually，所以m=2.

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