如下

* 问题详情，请查看题干

NO.PZ201602270200002104

问题如下：

4. The effective duration of Bond #4 is closest to:

选项：

0.76.

1.88.

3.77.

解释：

B is correct.

The effective duration of Bond #4 can be calculated using Equation 3 from the reading, where Δ Curve is 20 bps, PV– is 101.238, and PV+ is 100.478. $PV_0$ , the current full price of the bond (i.e., with no shift), is not given but it can be calculated using Exhibit 3 as follows:

S= Interest Rate Scenario

C=Cash Flow (% of par)

R=One-year Interest rate (%)

V= Value of the Callable Bond’s Future Cash Flows (% of par)

Thus, the effective duration of Bond #4 is:

Effective duration = $frac{101.238-100.478}{2\times(0.0020)\times(100.873)}=1.88$

题目中二叉树，是不是里面所有含权债券都适用这个二叉树

添加评论

1 个答案

pzqa015 · 2023年03月25日

嗨，从没放弃的小努力你好：

表3 的二叉树是用来对RW发行的债券估值的

表6的二叉树是用来对Varlep发行的债券估值的。

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

添加评论

1
回答
0
关注
518
浏览

我要回答关注问题

相关问题

NO.PZ201602270200002104 问题如下 4. The effective ration of Bon#4 is closest to: A.0.76. B.1.88. C.3.77. B is correct.The effective ration of Bon#4 ccalculateusing Equation 3 from the reang, where Δ Curve is 20 bps, PV– is 101.238, anPV+ is 100.478. PV0PV_0PV0, the current full priof the bon(i.e., with no shift), is not given but it ccalculateusing Exhibit 3 follows: S= Interest Rate ScenarioC=Cash Flow (% of par)R=One-yeInterest rate (%)V= Value of the Callable Bons Future Cash Flows (% of par)Thus, the effective ration of Bon#4 is:Effective ration = frac101.238−100.4782×(0.0020)×(100.873)=1.88frac{101.238-100.478}{2\times(0.0020)\times(100.873)}=1.88frac101.238−100.4782×(0.0020)×(100.873)=1.88 用二叉树计算callable bonfull price结果是大于100 的。此时full price不用遵循callable par?

2023-08-17 06:40 1 · 回答

NO.PZ201602270200002104 问题如下 4. The effective ration of Bon#4 is closest to: A.0.76. B.1.88. C.3.77. B is correct.The effective ration of Bon#4 ccalculateusing Equation 3 from the reang, where Δ Curve is 20 bps, PV– is 101.238, anPV+ is 100.478. PV0PV_0PV0, the current full priof the bon(i.e., with no shift), is not given but it ccalculateusing Exhibit 3 follows: S= Interest Rate ScenarioC=Cash Flow (% of par)R=One-yeInterest rate (%)V= Value of the Callable Bons Future Cash Flows (% of par)Thus, the effective ration of Bon#4 is:Effective ration = frac101.238−100.4782×(0.0020)×(100.873)=1.88frac{101.238-100.478}{2\times(0.0020)\times(100.873)}=1.88frac101.238−100.4782×(0.0020)×(100.873)=1.88 1、提供考点相关内容并解析，怎么和我这边的公式好像不太对的上2、什么是frac，麻烦负责地解析答案

2022-08-14 21:13 1 · 回答

NO.PZ201602270200002104

2022-01-20 17:23 1 · 回答

可是callable bon不是最后的答案不能超过100吗？

2020-01-30 20:34 1 · 回答

如下

1 个答案

1

0

518

相关问题