Olivia.W🌸 · 2024年07月25日
NO.PZ2023052301000050
问题如下：
A 5.5% semiannual-pay fixed-coupon bond is issued at par on 1 May 2025 and matures on 1 May 2029. For a 50 bps increase and decrease in yield-to-maturity, PV+ and PV– are 98.245077 and 101.792534, respectively. The approximate convexity is closest to:
选项：
A.3.548
B.15.045
101.793
解释：
B is correct.
为什么PV0是100？
NO.PZ2023052301000050问题如下 A 5.5% semiannual-pfixecoupon bonis issuepon 1 M2025 anmatures on 1 M2029. For a 50 bps increase ancrease in yielto-maturity, PV+ anPV– are 98.245077 an101.792534, respectively. The approximate convexity is closest to: A.3.548B.15.045C.101.793 B is correct. 题目说半年付息一次，在带入时△y需要用50除以2吗
NO.PZ2023052301000050问题如下 A 5.5% semiannual-pfixecoupon bonis issuepon 1 M2025 anmatures on 1 M2029. For a 50 bps increase ancrease in yielto-maturity, PV+ anPV– are 98.245077 an101.792534, respectively. The approximate convexity is closest to: A.3.548B.15.045C.101.793 B is correct. 不应该再乘以2 算全年的convexiyu？
NO.PZ2023052301000050问题如下 A 5.5% semiannual-pfixecoupon bonis issuepon 1 M2025 anmatures on 1 M2029. For a 50 bps increase ancrease in yielto-maturity, PV+ anPV– are 98.245077 an101.792534, respectively. The approximate convexity is closest to: A.3.548B.15.045C.101.793 B is correct. p0为什么是100？我是根据pv + 到退出IY+=3，然后3-50bps算出pv0对应的IY。不对吗？
