tinylumpy · 2025年02月11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.
完全看不懂答案解析，也不懂题干说Assuming it is 12 days into the first coupon period and a 30/360 basis有什么用？
笛子_品职助教 · 2025年02月11日
嗨，爱思考的PZer你好：
1、现在时间点：Assuming it is 12 days into the first coupon period，还有12天进入第一个付息日。从零时刻到现在这个时间点一共是180-12=168天，占比就是168/180=0.93333，以此类推，就是表格的第二列。
2、现在债券是半年付息一次的，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。
3、以此类推计算出每一个PV，求和之后得到98.4856，然后再去计算weight。最后用每一行的weight * Time to Receipt就得到了MacDur，除以2就得到年化的Annualized MacDur.
4、关于计算量的问题，考试大概率不会是这种形式。我个人认为考试出题一般情况下会刚好在付息日当天来衡量，就不会有time to receipt存在小数的情况。另外，期数也不会有这么多，按照往年考察的情况来看，多数以三期现金流的情况出现。
----------------------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，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. 请老师再详细一下，这道题P0是多少，以及PVfull是怎么计算的。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！
