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yehan99 · 2018年10月09日

问一道题:NO.PZ2016031001000132 [ CFA I ]

这个6%是coupon rate不是YTM,怎么用6%直接算出了macaulay duration?


问题如下图:

    

选项:

A.

B.

C.

解释:



1 个答案

V哥_品职助教 · 2018年10月10日

market price=par value

so, YTM=coupon rate =6%

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NO.PZ2016031001000132 问题如下 investor purchases annucoupon bonwith a 6% coupon rate anexactly 20 years remaining until maturity a priequto pvalue. The investor’s investment horizon is eight years. The approximate mofieration of the bonis 11.470 years. The ration gthe time of purchase is closest to: A.-7.842. B.3.470. C.4.158. C is correct.The ration gis closest to 4.158. The ration gis a bons Macaulration minus the investment horizon. The approximate Macaulration is the approximate mofieration times one plus the yielto-maturity. It is 12.158 (= 11.470 × 1.06). Given investment horizon of eight years, the ration gfor this bonpurchase is positive: 12.158 – 8 = 4.158. When the investment horizon is less ththe Macaulration of the bon the ration gis positive, anpririsk minates coupon reinvestment risk. 考点ration gap解析ration g= Macaculration - investment horizon = Mofieration × (1+y) - investment horizon = 11.470 × 1.06 - 8 = 4.1582,故C正确。 这提问的是ration gpurchase 不应该是ration - 20吗?(买的时候还有20年到期)

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