EmilyZhou · 2024年10月13日
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.
这种题考试时候出 选择战略放弃 计算量太大了
笛子_品职助教 · 2024年10月14日
嗨，爱思考的PZer你好：
Hello，亲爱的同学~
不要放弃呀~
本题考察的是麦考利久期的计算，这个在考纲内是有要求的，需要掌握。
但我认为虽然会考，但不会有这么大的计算量。
一般考试出题的时候，最多出三期现金流。三期现金流的计算量，其实还在可接受的范围。
此外，考试出题一般情况下会刚好在付息日当天来衡量，也不会有time to receipt存在小数的情况，这也会减少计算量。
同学还是掌握一下这里的计算，以防考试出到类似的，但计算量大幅减少的题目。
----------------------------------------------虽然现在很辛苦，但努力过的感觉真的很好，加油！
NO.PZ2023052301000046问题如下 Consir a bonthhthree years remaining to maturity, a coupon of 4% paisemiannually, ana yielto-maturity of 4.60%. Assuming it is 12 ys into the first coupon perioana 30/360 basis, the bons annualizeMacaulration is closest to: A.1.8764 years.B.2.8386 years.C.2.8553 years. B is correct. 老师请看右边这里，这个CF1的列式，如果是这道题的话怎么列这样的式子呢，semi怎么表示
NO.PZ2023052301000046 问题如下 Consir a bonthhthree years remaining to maturity, a coupon of 4% paisemiannually, ana yielto-maturity of 4.60%. Assuming it is 12 ys into the first coupon perioana 30/360 basis, the bons annualizeMacaulration is closest to: A.1.8764 years. B.2.8386 years. C.2.8553 years. B is correct. 以perio1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！
NO.PZ2023052301000046 问题如下 Consir a bonthhthree years remaining to maturity, a coupon of 4% paisemiannually, ana yielto-maturity of 4.60%. Assuming it is 12 ys into the first coupon perioana 30/360 basis, the bons annualizeMacaulration is closest to: A.1.8764 years. B.2.8386 years. C.2.8553 years. B is correct. 这个SEMI变ANNUAL为什么不是乘以2而是除以2？
NO.PZ2023052301000046 问题如下 Consir a bonthhthree years remaining to maturity, a coupon of 4% paisemiannually, ana yielto-maturity of 4.60%. Assuming it is 12 ys into the first coupon perioana 30/360 basis, the bons annualizeMacaulration is closest to: A.1.8764 years. B.2.8386 years. C.2.8553 years. B is correct. 这看不懂怎么后面的perio接加1？能列一下原始的公式么？譬如Prio 1/1.023的多少次方？
