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vvnsw · 2024年08月02日

第一个公式怎么算？

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000027

问题如下：

A bond issued by RTR pays a quarterly coupon of 3.25%, has three years to maturity, and is currently trading at 97.28. The semiannual bond basis yield is closest to:

选项：

A.

1.055%

B.

2.121%

C.

4.242%

解释：

C is correct. As a first step, we need to calculate the quarterly yield and annualize it:


The next step is to convert the annualized quarterly yield to the semiannual bond basis yield.


A is incorrect because 1.0550% is the yield per quarter.
B is incorrect because 2.1100% is the yield per quarter (1.0550%) multiplied by 2.

第一个公式怎么算？

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1 个答案

品职答疑小助手雍 · 2024年08月02日

同学你好，3年，季度付息的债券相当于总共付息12期。

所以N=12， PMT=3.25/4, FV=100, PV=97.28，求IY即可。这个IY求出来是季度的利率，需要乘以4才能有年化的利率。

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