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， · 2022年01月16日

老师，这个题我用 pv=-96.5 fv=100 n=350/365 pmt=0 compute i/yr 算出来答案一样的，这种算法是凑巧还是也可以

  1. CFA I
  2. Fixed Income

NO.PZ2016031001000083

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%

考点：Bond Equivalent Yield

解析：Bond Equivalent Yield是一年按365天算的Add-on Yield。BEY=【(FV-PV)/PV】×365/days，代入可得BEY=3.78%，故选项C正确。

老师，这个题我用 pv=-96.5 fv=100 n=350/365 pmt=0 compute i/yr 算出来答案一样的，这种算法是凑巧还是也可以

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1 个答案

笛子_品职助教 · 2022年01月17日

嗨，爱思考的PZer你好：


这个题我用 pv=-96.5 fv=100 n=350/365 pmt=0 compute i/yr 算出来答案一样的，这种算法是凑巧还是也可以


不是凑巧，这种计算方法是可以的。

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， · 2022年01月19日

Thank you very much!

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