NO.PZ2016031001000115
问题如下:
An investor buys a 6% annual payment bond with three years to maturity. The bond has a yield-to-maturity of 8% and is currently priced at 94.845806 per 100 of par. The bond’s Macaulay duration is closest to:
选项:
A. 2.62.
B. 2.78.
C. 2.83.
解释:
C is correct.
The bond’s Macaulay duration is closest to 2.83. Macaulay duration (MacDur) is a weighted average of the times to the receipt of cash flow. The weights are the shares of the full price corresponding to each coupon and principal payment.
Thus, the bond’s Macaulay duration (MacDur) is 2.83.
Alternatively, Macaulay duration can be calculated using the following closed-form formula:
MacDur = 13.50 − 10.67 = 2.83
麻烦老师说一下算这个表格里这些数据具体的计算步骤