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陈柏 · 2024年08月28日

yield变动是多少

  1. FRM I
  2. Valuation And Risk Models

NO.PZ2020011303000220

问题如下：

Consider a zero-coupon bond with a face value of USD 100 and a maturity of ten years. What is the effective convexity of the bond when the ten-year rate is 4% with semi-annual compounding? (Consider one basis-point changes and measure rates as decimals.)

解释：

The effective convexity is

(67.231190+ 67.363145－2×67.297133)/ (67.297133×0.00012)=102.53

Note that more decimal places than those indicated were kept to provide this estimate of convexity.

题目问：一个零息债券的面值是100USD，期限是10年，当利率是4%，半年付息一次时，effective convexity是多少？

effective convexity=(V+ + V- -2*V0)/(V0*1bp^2)

(67.231190+ 67.363145－2×67.297133)/ (67.297133×0.0001^2)=102.53

1bp涨得到V+，1bp跌得到V-，利率一共变动了2bp，为什么除的时候用1bp呢？

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1 个答案

品职答疑小助手雍 · 2024年08月28日

嗨，爱思考的PZer你好：


原始的公式在基础班讲义190页。

主要是因为计算凸性的影响的时候，还要乘以1/2。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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2024-10-20 18:19 1 · 回答

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NO.PZ2020011303000220 请问V-和V+用计算器算出来不是答案里的数啊 我是分别求的PMT=0， FV=100，I/Y=2.01 或1.99，N=20，求PV，得出来是67.43和67.165啊。 用求现值公式求出来也是这两个数。 我算的有问题么？

2021-09-07 08:32 1 · 回答

你好 请问这个价格变动的三个67是怎么得到的呢

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