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Gabriela · 2024年08月24日

以period 1为例

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.


以period 1为例,weight 是0.0199是如何算出的。请老师帮忙列一下公式;PV (full)是怎么算出的?谢谢!

2 个答案

品职答疑小助手雍 · 2024年09月13日

YTM一般给的都是年化利率,所以折现计算的时候,半年付息的债券要除以二进行半年compounding的操作。

品职答疑小助手雍 · 2024年08月25日

嗨,从没放弃的小努力你好:


先要计算PV(full)那一列:用cash flow 那一列除以(1+4.6%/2)^t 。 这里的t是time to receipt。 加总的pv full=98.4856

然后权重就等于每期的pv除以98.4856。 比如1.9580/98.4856


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娈安 · 2024年09月12日

除以2是因为ytm是年化的吗

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