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beiweiy · 2022年05月19日

与所学内容理解有偏差，不知道问题在哪里？

  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\%



您好，我是想ERA是年化利率，所以按照学习的内容，这么列的公式。是哪里理解的有偏差？

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1 个答案

品职答疑小助手雍 · 2022年05月20日

同学你好， 你列这个是用spot rate折现的方法。而EAR的定义式就是987=1000/（1+R）^(1/12） 求出R即可。

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NO.PZ2016082402000001 问题如下 investor buys a Treasury bill maturing in one month for $987. On the maturity te the investor collects $1,000. Calculate effective annurate (EAR). A.17.0% B.15.8% C.13.0% 11.6% ANSWER: AThe Eis finebyFVPV=(1+EAR)T\frac{FV}{PV}={(1+EAR)}^TPVFV​=(1+EAR)T . So (FVPV)1T−1{(\frac{FV}{PV})}^\frac1T-1(PVFV​)T1​−1 E= . Here, T = 1/12. So, E=   (1,000987)12−1=17.0%\;{(\frac{1,000}{987})}^{12}-1=17.0\%(9871,000​)12−1=17.0% EAR和BEY在讲义的哪个地方，找不到了

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NO.PZ2016082402000001问题如下investor buys a Treasury bill maturing in one month for $987. On the maturity te the investor collects $1,000. Calculate effective annurate (EAR).A.17.0%B.15.8%C.13.0%11.6%ANSWER: AThe Eis finebyFVPV=(1+EAR)T\frac{FV}{PV}={(1+EAR)}^TPVFV​=(1+EAR)T . So (FVPV)1T−1{(\frac{FV}{PV})}^\frac1T-1(PVFV​)T1​−1 E= . Here, T = 1/12. So, E=   (1,000987)12−1=17.0%\;{(\frac{1,000}{987})}^{12}-1=17.0\%(9871,000​)12−1=17.0%为什么不是（1+R/12）=1000/987

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NO.PZ2016082402000001问题如下investor buys a Treasury bill maturing in one month for $987. On the maturity te the investor collects $1,000. Calculate effective annurate (EAR).A.17.0%B.15.8%C.13.0%11.6%ANSWER: AThe Eis finebyFVPV=(1+EAR)T\frac{FV}{PV}={(1+EAR)}^TPVFV​=(1+EAR)T . So (FVPV)1T−1{(\frac{FV}{PV})}^\frac1T-1(PVFV​)T1​−1 E= . Here, T = 1/12. So, E=   (1,000987)12−1=17.0%\;{(\frac{1,000}{987})}^{12}-1=17.0\%(9871,000​)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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