开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Dearkerry · 2023年03月20日

老师，是否可以列一下每一问的公式啊

  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?

选项：

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

老师，是否可以列一下每一问的计算公式啊。第一问麦考林久期是应该计算平均还款时间，不是很会计算

添加评论
1 个答案

pzqa27 · 2023年03月21日

嗨，爱思考的PZer你好：


duration=现金流的现值权重*时间 的加总


convexity=现金流的现值权重*时间的平方 的加总


modified convexity讲义上没有写，但是他和modified duration的计算方法一样，等于convexity/(1+利率）


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

  • 1

    回答

  • 0

    关注

  • 242

    浏览
相关问题

NO.PZ2020021204000018 问题如下 A three-yebonwith a favalue of US100 pays coupons annually the rate of 10% per year. Its yielis 7% with annucompounng. Whare (the Macaulration, (the convexity, (the mofieration, an( the mofieconvexity? The Macaulration is 2.7458, the convexity is 7.9021,anthe mofieration is2.7458 / 1.07 = 2.5661The mofieconvexity is7.9021/1.072 = 6.9020 convexity 和mofieconvextiy 要会计算么

2023-10-27 17:49 1 · 回答

NO.PZ2020021204000018问题如下A three-yebonwith a favalue of US100 pays coupons annually the rate of 10% per year. Its yielis 7% with annucompounng. Whare (the Macaulration, (the convexity, (the mofieration, an( the mofieconvexity?The Macaulration is 2.7458, the convexity is 7.9021,anthe mofieration is2.7458 / 1.07 = 2.5661The mofieconvexity is7.9021/1.072 = 6.9020 修正久期凸性的计算，这道题的解题步骤对吗？

2023-04-24 09:54 1 · 回答

NO.PZ2020021204000018问题如下A three-yebonwith a favalue of US100 pays coupons annually the rate of 10% per year. Its yielis 7% with annucompounng. Whare (the Macaulration, (the convexity, (the mofieration, an( the mofieconvexity?The Macaulration is 2.7458, the convexity is 7.9021,anthe mofieration is2.7458 / 1.07 = 2.5661The mofieconvexity is7.9021/1.072 = 6.9020 认为自己计算完全没有错误了，但是答案不对。烦请列一下步骤。谢谢

2023-04-11 17:32 1 · 回答

NO.PZ2020021204000018问题如下A three-yebonwith a favalue of US100 pays coupons annually the rate of 10% per year. Its yielis 7% with annucompounng. Whare (the Macaulration, (the convexity, (the mofieration, an( the mofieconvexity?The Macaulration is 2.7458, the convexity is 7.9021,anthe mofieration is2.7458 / 1.07 = 2.5661The mofieconvexity is7.9021/1.072 = 6.9020 自认为与讲义公布公式一致，但是答案计算多次不对，找不到原因。

2023-04-11 17:18 2 · 回答