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克里斯汀 · 2021年09月10日

复利的公式

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NO.PZ201701230200000203

问题如下:

3. In presenting Investment 2, Smith should show an annual return closest to:

选项:

A.

4.31%.

B.

5.42%.

C.

6.53%.

解释:

C is correct.

The swap spread is a common way to indicate credit spreads in a market. The four-year swap rate (fixed leg of an interest rate swap) can be used as an indication of the four-year corporate yield. Riding the yield curve by purchasing a four-year zero-coupon bond with a yield of 4.75% {i.e., 4.05% + 0.70%, [P4 = 100/(1 + 0.0475)4 = 83.058]} and then selling it when it becomes a two-year zero-coupon bond with a yield of 3.00% {i.e., 2.70% +0.30%, [P2 = 100/(1 + 0.0300)2 = 94.260]} produces an annual return of 6.53%: (94.260/83.058)0.5 - 1.0 = 0.0653.

(94.260/83.058)0.5 - 1.0 = 0.0653


不明白使用什么复利公式计算的,麻烦老师解释一下。

1 个答案

WallE_品职答疑助手 · 2021年09月10日

嗨,努力学习的PZer你好:


买4年的债券,在第二年的时候就卖了,相当于持有了2年。我们需要做了一个复利算出年化的return,83.058*(1+R)^2=94.260,然后反求出R。算年收益率。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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