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lion · 2023年02月28日

知识点回忆

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000018

问题如下：

A three-year bond with a face value of USD 100 pays coupons annually at the rate of 10% per year. Its yield is 7% with annual compounding. What are (a) the Macaulay duration, (b) the convexity, (c) the modified duration, and (d) the modified convexity?

解释：

The Macaulay duration is 2.7458, the convexity is 7.9021,

and the modified duration is

2.7458 / 1.07 = 2.5661

The modified convexity is

7.9021/1.072 = 6.9020

请问这是哪的知识点？这个和之前久期的概念不一样

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1 个答案

DD仔_品职助教 · 2023年02月28日

嗨，爱思考的PZer你好：


同学你好，

这部分在估值与风险建模里有涉及，大概在177页开始：

modified duration=麦考林 duration/(1+r)在讲义上直接有公式，而modified convexity=convexity/(1+r)^2属于补充内容，在讲义上没有涉及，可以了解一下：

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

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