NO.PZ2016031001000115
问题如下:
An investor buys a 6% annual payment bond with three years to maturity. The bond has a yield-to-maturity of 8% and is currently priced at 94.845806 per 100 of par. The bond’s Macaulay duration is closest to:
选项:
A.2.62.
B.2.78.
C.2.83.
解释:
C is correct.
The bond’s Macaulay duration is closest to 2.83. Macaulay duration (MacDur) is a weighted average of the times to the receipt of cash flow. The weights are the shares of the full price corresponding to each coupon and principal payment.
Thus, the bond’s Macaulay duration (MacDur) is 2.83.
考点:Macaulay duration
解析:Macaculay久期就是平均还款期,权重就是现金流现值占总价格的比值。
1、第二列CF就是每一期的现金流,分别是6、6和106;
2、用折现率8%进行折现到零时刻,就可以得到各期的PV,分别是6/1.08=5.56; 6/(1.08)^2=5.144; 106/(1.08)^3=84.146。将这三个数据加总就是94.85(第三列);
3、权重就是每一个PV占94.85的比例,分别是5.56/94.85=0.0586;5.144/94.85=0.0542; 84.146/94.85=0.8871
4、最后一列就是第一列period和第四列权重相乘,最终得到Mac D就是2.83,故选项C正确。
用折现率8%进行折现,就可以得到各期的PV,
第一期的折现 PMT =6,I/Y=8,N=1,FV=6,求出PV1=-11
第二期的折现 PMT =6,I/Y=8,N=2,FV=6,求出PV2=-15
第三期的折现 PMT =6,I/Y=8,N=3,FV=106,求出PV3=-99.6
而实际上答案分别是6/1.08=5.56; 6/(1.08)^2=5.144; 106/(1.08)^3=84.146。将这三个数据加总就是94.85