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二狗 · 2024年10月07日

这个Weight是怎么计算的?

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NO.PZ202305230100004901

问题如下:

A portfolio manager is assessing the interest rate risk of three bonds as she considers making an investment of USD50 million. All three bonds are issued on 1 June 2026 and mature on 1 June 2030, and they have the following characteristics:



The Macaulay duration, in years, for Bond One is closest to:

选项:

A.

3.54

B.

3.59

C.

3.78

解释:

B is correct.

如题

1 个答案
已采纳答案

吴昊_品职助教 · 2024年10月08日

嗨,从没放弃的小努力你好:


weight是每一期的Present value除以总PV(114.97185)

第一期的weight=3.44828/114.97185=0.02999;第二期的weight=3.39732/114.97185=0.02955;第三期的weight=3.34711/114.97185=0.02911;以此类推。

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