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我又想你了 · 2024年08月03日

试错法

  1. CFA I
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202305230100003803

问题如下：

Suppose the one-year and two-year spot rates in Canada move upward by 20 bps but the three-year Canadian spot rate remains unchanged. Which of the following best reflects the updated three-year Canadian par rate?

选项：

A.

Increases by approximately 13 bps

B.

Increases by approximately 7 bps

C.

Increases by approximately 0.16 bps

解释：

C is correct. The par rate of 0.7952% approximates the spot rate of 0.7977%, so the most important change affecting the three-year par rate is the change in the three-year spot rate. Because it does not change, the only change will be a slight move in the par rate toward the spot rate (to approximately 0.7968%).

老师，前后两个par rate的计算是用试错法吗

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2 个答案

品职答疑小助手雍 · 2024年09月14日

就是3年期因为带着本金，权重是最大的，所以如果3年期的spot不改变，只是前两年的spot 改变对par rate造不成很大的影响，所以直接选变化最小的就行。

品职答疑小助手雍 · 2024年08月03日

同学你好，不是试错法，而是用公式计算的。

计算下来就是100=PMT/(1+0.3117%) +PMT/(1+0.5680%)^2 +(100+PMT)/(1+0.7977%)^3， 解PMT除以100就是原始的par rate。

然后100=PMT/(1+0.3117%+0.2%) +PMT/(1+0.5680%+0.2%)^2 +(100+PMT)/(1+0.7977%)^3，再解PMT除以100得到新的par rate。

不过以上计算在近似的方法上意义不大，知道主要是3年期spot 影响之后可以直接选那个变化最小的选项C。

Frances · 2024年09月14日

这种计算量按计算器也得花点时间。‘知道主要是3年期spot 影响之后可以直接选那个变化最小的选项C。’这里没理解。

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相关问题

NO.PZ202305230100003803问题如下 Suppose the one-yeantwo-yespot rates in Cana move upwar20 bps but the three-yeCanaspot rate remains unchange Whiof the following best reflects the uptethree-yeCanaprate? A.Increases approximately 13 bpsB.Increases approximately 7 bpsC.Increases approximately 0.16 bps C is correct. The prate of 0.7952% approximates the spot rate of 0.7977%, so the most important change affecting the three-yeprate is the change in the three-yespot rate. Because it es not change, the only change will a slight move in the prate towarthe spot rate (to approximately 0.7968%). 这数字是怎么算出来的？。

2024-02-13 21:07 2 · 回答