问一道题：NO.PZ2020021204000019

NO.PZ2020021204000019 问题如下 A three-yebonwith a favalue of US100 pays coupons annually the rate of 10% per year. Its yielis 7% with annucompounng., estimate the prichange if the annually compounyielchanges from 7% to 8.5%, using both the ration anthe ration plus convexity approximations. Using ration, the prichange is-2.5661 X 107.8729 X 0.015= -4.1522Using ration anconvexity, it is-2.5661 X 107.8729 X 0.015 + (1/2) X 6.9020 X 107.8729 X 0.0152 = -4.0685The actubonpricline is 4.0419, showing thration plus convexity gives a better estimate thconvexity alone. 这道题，按照时间的平方乘以权重去算凸性，凸性我算怎么等于7.9014，然后除以1.07的呀等于7.3845，不等于6.902啊

NO.PZ2020021204000019 问题如下 A three-yebonwith a favalue of US100 pays coupons annually the rate of 10% per year. Its yielis 7% with annucompounng., estimate the prichange if the annually compounyielchanges from 7% to 8.5%, using both the ration anthe ration plus convexity approximations. Using ration, the prichange is-2.5661 X 107.8729 X 0.015= -4.1522Using ration anconvexity, it is-2.5661 X 107.8729 X 0.015 + (1/2) X 6.9020 X 107.8729 X 0.0152 = -4.0685The actubonpricline is 4.0419, showing thration plus convexity gives a better estimate thconvexity alone.

NO.PZ2020021204000019问题如下A three-yebonwith a favalue of US100 pays coupons annually the rate of 10% per year. Its yielis 7% with annucompounng., estimate the prichange if the annually compounyielchanges from 7% to 8.5%, using both the ration anthe ration plus convexity approximations.Using ration, the prichange is-2.5661 X 107.8729 X 0.015= -4.1522Using ration anconvexity, it is-2.5661 X 107.8729 X 0.015 + (1/2) X 6.9020 X 107.8729 X 0.0152 = -4.0685The actubonpricline is 4.0419, showing thration plus convexity gives a better estimate thconvexity alone.不用mofieration=macaulration/（1+y）行不行？就用mofie定义式ta p=-ration*得塔y*p？得出结果是-2.5，与用mofie和macaulay的关系式求解的结果有少许差异。感觉这张图求convexity不太对吧？第一个蓝框您看课程例题的截图，不应该是权重（即现金流折现占现值比例）乘以时间的平方吗？如下图我写的0.08664*1+0.08097*4+0.8324*9吗？

NO.PZ2020021204000019 问题如下 A three-yebonwith a favalue of US100 pays coupons annually the rate of 10% per year. Its yielis 7% with annucompounng., estimate the prichange if the annually compounyielchanges from 7% to 8.5%, using both the ration anthe ration plus convexity approximations. Using ration, the prichange is-2.5661 X 107.8729 X 0.015= -4.1522Using ration anconvexity, it is-2.5661 X 107.8729 X 0.015 + (1/2) X 6.9020 X 107.8729 X 0.0152 = -4.0685The actubonpricline is 4.0419, showing thration plus convexity gives a better estimate thconvexity alone. 这个是在哪里体现的

NO.PZ2020021204000019 问题如下 A three-yebonwith a favalue of US100 pays coupons annually the rate of 10% per year. Its yielis 7% with annucompounng., estimate the prichange if the annually compounyielchanges from 7% to 8.5%, using both the ration anthe ration plus convexity approximations. Using ration, the prichange is-2.5661 X 107.8729 X 0.015= -4.1522Using ration anconvexity, it is-2.5661 X 107.8729 X 0.015 + (1/2) X 6.9020 X 107.8729 X 0.0152 = -4.0685The actubonpricline is 4.0419, showing thration plus convexity gives a better estimate thconvexity alone. No.PZ2020021204000019 (问答题)来源: 原版书A three-yebonwith a favalue of US100 pays coupons annually the rate of 10% per year. Its yielis 7% with annucompounng., estimate the prichange if the annually compounyielchanges from 7% to 8.5%, using both the ration anthe ration plus convexity approximations.解析Using ration, the prichange is-2.5661 X 107.8729 X 0.015= -4.1522Using ration anconvexity, it is-2.5661 X 107.8729 X 0.015 + (1/2) X 6.9020 X 107.8729 X 0.0152 = -4.0685The actubonpricline is 4.0419, showing thration plus convexity gives a better estimate thconvexity alone.问题为什么求二阶导的时候用的是mofieconvexity（=6.9020）而不是convexity（=7.9021），课上说的公式用的是convexity