Archie · 2022年05月14日
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.
老师什么时候是m分之y呢，这个bond不是一年付息两次嘛
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！
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.
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
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
