Nicole Cai · 2024年04月16日
NO.PZ2023052301000051
问题如下：
A bond pays a semiannual fixed coupon of 4.70%. It trades at par on its coupon date of 16 December 2025 and matures on 16 December 2033. The bond’s annualized convexity statistic is closest to:
选项：
A.
51.670
B.
53.231
C.
206.681
解释：
A is correct.
Annualized convecity怎么算？公式怎么样的？
吴昊_品职助教 · 2024年04月17日
嗨，努力学习的PZer你好：
1、原版书上关于annualized convexity的相关计算，只给出了Convexity of Cash Flows的计算公式。有了每一期现金流的convexity之后，将它们加总起来，再除以一年计息次数的平方，即可得到annualized convexity。由于计算量太大，个人认为在考试中不会考察一整道题，要么计算其中的一小步，要么就是题目已经给出了sum，相当于做了一个简化。
2、回到本题，第七栏就是我们下方的公式，计算出每一期现金流的convexity，全部加总后得到206.68136，在此基础上除以4，得到51.67034。因为债券是一年付息两次，2的平方，所以除以4。
----------------------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，加油！
NO.PZ2023052301000051问题如下 A bonpays a semiannufixecoupon of 4.70%. It tras pon its coupon te of 16 cember 2025 anmatures on 16 cember 2033. The bons annualizeconvexity statistic is closest to: A.51.670B.53.231C.206.681 A is correct. 如何能看出I/Y和coupon rate是相等的呢
NO.PZ2023052301000051 问题如下 A bonpays a semiannufixecoupon of 4.70%. It tras pon its coupon te of 16 cember 2025 anmatures on 16 cember 2033. The bons annualizeconvexity statistic is closest to: A.51.670 B.53.231 C.206.681 A is correct. 老师，请问最后一期现金流的 183.2633是怎么算出来的？
NO.PZ2023052301000051 问题如下 A bonpays a semiannufixecoupon of 4.70%. It tras pon its coupon te of 16 cember 2025 anmatures on 16 cember 2033. The bons annualizeconvexity statistic is closest to: A.51.670 B.53.231 C.206.681 A is correct. t*(t+1)*W/(1+Yn)的n次方，Yn是一期的利率，n是一年计息次数。对吗？n并不是都等于2
NO.PZ2023052301000051 问题如下 A bonpays a semiannufixecoupon of 4.70%. It tras pon its coupon te of 16 cember 2025 anmatures on 16 cember 2033. The bons annualizeconvexity statistic is closest to: A.51.670 B.53.231 C.206.681 A is correct. A bonpays a semiannufixecoupon of 4.70%. It tras pon its coupon te of 16 cember 2025 anmatures on 16 cember 2033. The bons annualizeconvexity statistic is closest to:
NO.PZ2023052301000051 问题如下 A bonpays a semiannufixecoupon of 4.70%. It tras pon its coupon te of 16 cember 2025 anmatures on 16 cember 2033. The bons annualizeconvexity statistic is closest to: A.51.670 B.53.231 C.206.681 A is correct. 用计算器第三行，PMT=2.35，FV=100,N=16,I/Y=2.34和2.36，求出两个PV, PV0=100,这样算不对是吗，为啥不对？这个公式啥时候用呢？
