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張寶寶 · 2024年05月11日

modified duration

NO.PZ2023120801000073

问题如下:

A portfolio manager is assessing the interest rate risk of three bonds as she considers making an investment of USD50 million. All three bonds are issued on 1 June 2026 and mature on 1 June 2030, and they have the following characteristics:

The modified duration for Bond Two is closest to:

选项:

A.

3.59

B.

3.65

C.

3.78

解释:

Correct Answer: B


cash flow 为什么都是1.5?

1 个答案

吴昊_品职助教 · 2024年05月11日

嗨,努力学习的PZer你好:


债券2是半年付息一次的,coupon rate=3%,所以每一期的coupon payment = 100× 3%/2 = 1.5

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