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irene · 2021年09月07日

V-和V+用计算器算出来不是答案里的数

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2020011303000220

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.)

选项：

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.

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？

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1 个答案

李坏_品职助教 · 2021年09月07日

嗨，从没放弃的小努力你好：


这里的I/Y应该这样算：


（4% + 0.01%）/ 2 = 2.005%


还有：

（4% - 0.01%）/ 2 = 1.995%

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