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beiweiy · 2022年05月19日

这个题ERA为什么不用除以12？

  1. FRM I
  2. Financial Markets And Products

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)1T−1{(\frac{FV}{PV})}^\frac1T-1  EAR =  . Here, T = 1/12. So, EAR =   (1,000987)12−1=17.0%\;{(\frac{1,000}{987})}^{12}-1=17.0\%

一个月到期，不是说明一个月结一次么，一年就得是12次？

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1 个答案

李坏_品职助教 · 2022年05月19日

嗨，爱思考的PZer你好：


EAR的意思是，有效年利率，不是月利率。


这个题目告诉你T-bill还剩下一个月到期（maturing in one month），所以我们得把这一个月的收益率按照年化去复利（连续复利，也就是12次方）折算成年利率，才是EAR。

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