小数

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.)

选项：

100.00

98.76

105.20

102.53

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

我用8位小数算出来是100.93，貌似选A更好，考试时应该保留几位小数计算？

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1 个答案

李坏_品职助教 · 2025年07月05日

嗨，努力学习的PZer你好：

计算过程保留4或者6位小数就足够了。最后的结果保留2位小数。

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