开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

JK_MMMM · 2022年03月23日

老师请问我这样做可以吗?

NO.PZ2016082402000008

问题如下:

Suppose the face value of a three-year option-free bond is USD 1,000 and the annual coupon is 10%. The current yield to maturity is 5%. What is the modified duration of this bond?

选项:

A.

2.62

B.

2.85

C.

3.00

D.

2.75

解释:

ANSWER: A

As in Table below, we lay out the cash flows and find

Duration is then 2.75, and modified duration 2.62.



1 个答案

李坏_品职助教 · 2022年03月23日

嗨,爱思考的PZer你好:


从公式来看没问题,但是这个公式的结果不太精确。最好还是用macaulay duration / (1+yield)来算。



----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

  • 1

    回答
  • 0

    关注
  • 396

    浏览
相关问题

NO.PZ2016082402000008 问题如下 Suppose the favalue of a three-yeoption-free bonis US1,000 anthe annucoupon is 10%. The current yielto maturity is 5%. Whis the mofieration of this bon 2.62 2.85 3.00 2.75 ANSWER: A面值为1000的3年的option-free的债券,coupon rate为10%,YTM为5%,求mofieration是多少?ration=8.38%*1+7.98%*2+83.64%*3=2.75mofieration=2.75/1.05=2.62 助教你好我都快被这问题烦死了😩,之前我问过类似问题,助教回答如果题目没特别指明,那FRM多是连续复利。但是本题就不是连续复利。所以,除了像FRA这种明显用单利去计算的产品,衍生品和债券在题目没有刻意说明怎么复利的情况下,是默认怎么处理呀?可以总结一下吗。。。谢谢!

2023-07-25 09:54 1 · 回答

NO.PZ2016082402000008问题如下 Suppose the favalue of a three-yeoption-free bonis US1,000 anthe annucoupon is 10%. The current yielto maturity is 5%. Whis the mofieration of this bon 2.62 2.85 3.00 2.75 ANSWER: Ain Table below, we lout the cash flows anfinuration is then 2.75, anmofieration 2.62.老师什么时候是m分之y呢,这个bon是一年付息两次嘛

2022-05-14 01:26 1 · 回答

Suppose the favalue of a three-yeoption-free bonis US1,000 anthe annucoupon is 10%. The current yielto maturity is 5%. Whis the mofieration of this bon 2.62 2.85 3.00 2.75 ANSWER: A in Table below, we lout the cash flows anfinration is then 2.75, anmofieration 2.62. 老师,能详细一下这道题吗

2021-04-19 16:59 1 · 回答

NO.PZ2016082402000008 2.85 3.00 2.75 ANSWER: A in Table below, we lout the cash flows anfinration is then 2.75, anmofieration 2.62. 老师可以详细一下这道题吗

2021-03-25 23:32 1 · 回答