Raya Tang · 2025年01月27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.
2.8386 years.
2.8553 years.
解释：
B is correct.
请老师再详细解释一下，这道题P0是多少，以及PVfull是怎么计算的。谢谢！
笛子_品职助教 · 2025年01月28日
嗨，爱思考的PZer你好：
债券是半年付息一次的。
PV1是指1期的cash flow折现到现在（0时刻，也就是12 days into the first coupon period）。
所以PV1=2/（1+2.3%）的（168/180）次方=1.95800；
PV2=2/（1+2.3%）的[1+(168/180）次方=1.9140，
以此类推，就是表格PV那一列。
把所有计算出的PV1，PV2,....pV6，加起来，就是Full PV。
P0是债券现在的价格，P0就等于Full PV，数值为98.4856
----------------------------------------------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. 这种题考试时候出 选择战略放弃 计算量太大了
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？
