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阿萌酱 · 2022年01月23日

这道题是不是跟基础班讲义类似

NO.PZ2016031001000084

问题如下：

The bond equivalent yield of a 180-day banker’s acceptance quoted at a discount rate of 4.25% for a 360-day year is closest to:

选项：

A.

4.31%.

B.

4.34%.

C.

4.40%.

解释：

C is correct.

The bond equivalent yield is closest to 4.40%. The present value of the banker’s acceptance is calculated as:

$PV=FV\times{(1-\frac{Days}{Year}\times DR)}$

$PV=100\times{(1-\frac{Days}{Year}\times DR)}$

$PV=100\times{(1-\frac{180}{360}\times0.0425)}$

PV = 100 × (1 – 0.02125)

PV = 100 × 0.97875

PV = 97.875

The bond equivalent yield (AOR) is calculated as:

$AOR={(\frac{Year}{Days})}\times{(\frac{FV-PV}{PV})}$

$AOR={(\frac{365}{180})}\times{(\frac{100-PV}{PV})}$

$AOR={(\frac{365}{180})}\times{(\frac{100-97.875}{97.875})}$

AOR = 2.02778 × 0.02171

AOR = 0.04402, or approximately 4.40%

Note that the PV is calculated using an assumed 360-day year and the AOR (bond equivalent yield) is calculated using a 365-day year.

考点：Yield Measures

解析：考查的是discount yield和 add-on yield之间的转换。1.题目给出了discount rate=4.25%，可以算出PV=100×（1-180/360×4.25%）=97.875。2.然后通过计算出来的PV再计算BEY，BEY就是365天形式的add-on-yield，BEY=365/180×(100-97.875)/97.875=4.40%，故选项C正确。

这道题是不是基础班讲义171页那道题的另一种表述形式？其实就是换了个数字。

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吴昊_品职助教 · 2022年01月23日

嗨，爱思考的PZer你好：

是的，两道题考查形式是一样的，都是已知了discount rate，要我们求的是BEY。

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加油吧，让我们一起遇见更好的自己！

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