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ZJH · 2018年10月07日

问一道题：NO.PZ2016082402000001

  1. FRM I
  2. Financial Markets And Products

问题如下图：

    

选项：

A.

B.

C.

D.

解释：



这一题是哪一节里的内容，题目什么意思，不太明白


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1 个答案

品职答疑小助手雍 · 2018年10月08日

同学你好，EAR是CFA一级数量里的重点，在FRM里不算是重点，notes里关于它的内容也只出现过一两次。了解一下即可。
题目的意思是一个月的收益率是（1000/987）-1。然后把这个月度到期收益率年化即可。也就是月度收益率的复利计算，即（1000/987）的12次方，再减一。

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NO.PZ2016082402000001 问题如下 investor buys a Treasury bill maturing in one month for $987. On the maturity te the investor collects $1,000. Calculate effective annurate (EAR). A.17.0% B.15.8% C.13.0% 11.6% ANSWER: AThe Eis finebyFVPV=(1+EAR)T\frac{FV}{PV}={(1+EAR)}^TPVFV​=(1+EAR)T . So (FVPV)1T−1{(\frac{FV}{PV})}^\frac1T-1(PVFV​)T1​−1 E= . Here, T = 1/12. So, E=   (1,000987)12−1=17.0%\;{(\frac{1,000}{987})}^{12}-1=17.0\%(9871,000​)12−1=17.0% EAR和BEY在讲义的哪个地方，找不到了

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