柚柚_柚 · 2020年06月08日
问题如下：
Consider a zero-coupon bond with a face value of USD 100 and a maturity of ten years. What is the effective convexity of the bond when the ten-year rate is 4% with semi-annual compounding?
(Consider one basis-point changes and measure rates as decimals.)
解释：
The effective convexity is
NO.PZ2020011303000220问题如下Consir a zero-coupon bonwith a favalue of US100 ana maturity of ten years. Whis the effective convexity of the bonwhen the ten-yerate is 4% with semi-annucompounng? (Consir one basis-point changes anmeasure rates cimals.) The effective convexity is (67.231190+ 67.363145－2×67.297133)/ (67.297133×0.00012)=102.53Note thmore cimplaces ththose incatewere kept to provi this estimate of convexity. 题目问一个零息债券的面值是100US期限是10年，当利率是4%，半年付息一次时，effective convexity是多少？effective convexity=(V++ V- -2*V0)/(V0*1bp^2)(67.231190+ 67.363145－2×67.297133)/(67.297133×0.0001^2)=102.53 1bp涨得到V+，1bp跌得到V-，利率一共变动了2bp，为什么除的时候用1bp呢？
NO.PZ2020011303000220问题如下 Consir a zero-coupon bonwith a favalue of US100 ana maturity of ten years. Whis the effective convexity of the bonwhen the ten-yerate is 4% with semi-annucompounng? (Consir one basis-point changes anmeasure rates cimals.) The effective convexity is (67.231190+ 67.363145－2×67.297133)/ (67.297133×0.00012)=102.53Note thmore cimplaces ththose incatewere kept to provi this estimate of convexity. 题目问一个零息债券的面值是100US期限是10年，当利率是4%，半年付息一次时，effective convexity是多少？effective convexity=(V++ V- -2*V0)/(V0*1bp^2)(67.231190+ 67.363145－2×67.297133)/(67.297133×0.0001^2)=102.53 答案中利率平方是怎么来的
NO.PZ2020011303000220 请问V-和V+用计算器算出来不是答案里的数啊 我是分别求的PMT=0， FV=100，I/Y=2.01 或1.99，N=20，求PV，得出来是67.43和67.165啊。 用求现值公式求出来也是这两个数。 我算的有问题么？
