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柚柚_柚 · 2020年06月08日

问一道题：NO.PZ2020011303000220 [ FRM I ]

  1. FRM I
  2. Valuation And Risk Models

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

(67.231190+ 67.363145－2×67.297133)/ (67.297133×0.00012)=100.9

Note that more decimal places than those indicated were kept to provide this estimate of convexity.

你好 请问这个价格变动的三个67是怎么得到的呢
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已采纳答案

袁园_品职助教 · 2020年06月08日

同学你好！

根据 effective convexity 的计算公式，你需要先计算出 V0, V+, V-

例如：V0 = 100/(1+4%/2)^20 = 67.297133

其余两个你可以试着自己算算看，不懂得话可以继续提问

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