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Katya68 · 2025年05月22日

怎么计算这个yield呢？

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000016

问题如下：

Which of the following is correct regarding the single-price auction process?

选项：

A.

Bidders include only dealers and institutional investors.

B.

Competitive bidders who bid higher than the stop yield are allocated securities.

C.

All non-competitive bids are accepted, while competitive bids are ranked starting at the lowest yield (highest bond price).

解释：

C is correct. All non-competitive bids are accepted, while competitive bids are ranked starting at the lowest yield (highest bond price). A is incorrect because individuals can also bid, in addition to dealers and institutional investors. B is incorrect because competitive bidders who bid higher than the stop yield (lower price) do not purchase any securities. All securities are sold for a single price, using a stop yield.

怎么计算这个yield呢？为什么大于stop yield是对应是lower price，这点还没明白。

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1 个答案

笛子_品职助教 · 2025年05月22日

嗨，从没放弃的小努力你好：


怎么计算这个yield呢？为什么大于stop yield是对应是lower price，这点还没明白。

yield是债券的YTM，也是折现率（required return）。

知道了债券价格，根据现金流折现模型，也就知道了yiled。

本知识点是债券的价格如何定。


这个知识点是国债的发行，采用的是拍卖的形式：单一价格拍卖方式。具体参考基础班讲义P118页。



B选项：参与竞价的bidder，每个人报出自己的报价，总高到底依次满足，最后成交价是最低的那个价格。这个最低的价格对应的是最高的收益率，也就是stop yield，低于这个收益率的都能成交，高于这个收益率的都无法成交。所以B错。


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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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