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Emmmmmmmua · 2022年02月01日

可以用连续复利算吗

NO.PZ2016082402000001

问题如下:

An investor buys a Treasury bill maturing in one month for $987. On the maturity date the investor collects $1,000. Calculate effective annual rate (EAR).

选项:

A.

17.0%

B.

15.8%

C.

13.0%

D.

11.6%

解释:

ANSWER: A

The EAR is defined byFVPV=(1+EAR)T\frac{FV}{PV}={(1+EAR)}^T . So (FVPV)1T1{(\frac{FV}{PV})}^\frac1T-1  EAR =  . Here, T = 1/12. So, EAR =   (1,000987)121=17.0%\;{(\frac{1,000}{987})}^{12}-1=17.0\%

请问这道题如果用连续复利算,

EAR是不是等于ln(1000/987) * 12 = 15.702%

1 个答案

李坏_品职助教 · 2022年02月04日

嗨,爱思考的PZer你好:


理论上连续复利算出来和离散复利算出来的结果应该不影响做题,但是这道题比较老了,误差有点大。建议还是用离散的公式。


在考试中不会给这种误差太大的题型的

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