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H. · 2020年08月24日

问一道题：NO.PZ2016031001000083 [ CFA I ]

  1. CFA I
  2. Fixed Income

问题如下：

A 365-day year bank certificate of deposit has an initial principal amount of USD 96.5 million and a redemption amount due at maturity of USD 100 million. The number of days between settlement and maturity is 350. The bond equivalent yield is closest to:

选项：

A.

3.48%.

B.

3.65%.

C.

3.78%.

解释：

C is correct.

The bond equivalent yield is closest to 3.78%. It is calculated as:

AOR=(YearDays)×(FV−PVPV)AOR={(\frac{Year}{Days})}\times{(\frac{FV-PV}{PV})}

where:

PV = present value, principal amount, or the price of the money market instrument

FV = future value, or the redemption amount paid at maturity including interest

Days = number of days between settlement and maturity

Year = number of days in the year

AOR = add-on rate, stated as an annual percentage rate (also, called bond equivalent yield).

AOR=(365350)×(100−96.596.5)AOR={(\frac{365}{350})}\times{(\frac{100-96.5}{96.5})}

AOR = 1.04286 × 0.03627

AOR = 0.03783 or approximately 3.78%

BEY不是半年复利一次吗？为什么不用转换成半年复利的利息？

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1 个答案

WallE_品职答疑助手 · 2020年08月25日

同学您好，

您是不是吧基础班讲义P159和P171页的例题弄混了？

前者是semi annual BEY 后者是BEY, AOR的计算， 您可以去看看那个地方 或者听一下哈

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2022-01-16 08:55 1 · 回答

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