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柚柚_柚 · 2020年06月07日

问一道题:NO.PZ2016082402000008 [ FRM I ]

问题如下:

Suppose the face value of a three-year option-free bond is USD 1,000 and the annual coupon is 10%. The current yield to maturity is 5%. What is the modified duration of this bond?

选项:

A.

2.62

B.

2.85

C.

3.00

D.

2.75

解释:

ANSWER: A

As in Table below, we lay out the cash flows and find

Duration is then 2.75, and modified duration 2.62.

感觉答案得数不是很准,算的duration是2.7869. Dmod是2.6542
1 个答案

品职答疑小助手雍 · 2020年06月08日

嗨,爱思考的PZer你好:


我用excel算的和答案一样哦,你要不再check一下自己的计算过程~


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努力的时光都是限量版,加油!


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