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水瓶公主 · 2023年04月24日

具体步骤：修正凸性是凸性/（1+r）^2

  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

修正久期凸性的计算，这道题的解题步骤对吗？


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1 个答案

DD仔_品职助教 · 2023年04月24日

嗨，从没放弃的小努力你好：


同学你好，

对的，你写的公式都对，但是最后一个公式的名字错了吧，你想写的应该是modified convexity，而不是convexity D吧。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

一只🐶哆啦 · 2024年11月04日

请老师补充一下conv，和mod conv的具体计算，我刚刚看过了所有的答案都没有任何过程，然后这部分我和你们算得都不一样，搞得我有点蒙，谢谢

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