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Olivia.W🌸 · 2024年07月22日

time to receipt啥意思

NO.PZ2023052301000046

问题如下:

Consider a bond that has three years remaining to maturity, a coupon of 4% paid semiannually, and a yield-to-maturity of 4.60%. Assuming it is 12 days into the first coupon period and a 30/360 basis, the bond’s annualized Macaulay duration is closest to:

选项:

A.

1.8764 years.

B.

2.8386 years.

C.

2.8553 years.

解释:

B is correct.


time to receipt啥意思

2 个答案

品职答疑小助手雍 · 2024年07月24日

这里它的意思是到该付息日还有多少期的意思,也就是第一行就是还有(1-12/180)期,第二行就是1期+(1-12/180)期,以此类推。

品职答疑小助手雍 · 2024年07月23日

同学你好,time to receipt没有特殊含义,就是字面意思:未来收到现金流还有多长时间。

Olivia.W🌸 · 2024年07月23日

第一期距离收到现金流的时间不是180-12吗?但是它是(180-12/180)呀

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