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冯有为 · 2019年03月26日

问一道题：NO.PZ2016031001000084 [ CFA I ]

  1. CFA I
  2. Fixed Income

问题如下图：

选项：

A.

B.

C.

解释：

这道题中说一年按360天算，为什么算bey是按365天算的？

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吴昊_品职助教 · 2019年03月27日

这里的考点是discount yield和 add-on yield之间的转换。题目中给出的360天用于discount rate的计算中，而后转换到BEY必须用365天。因为BEY就是365天形式的add-on-yield。

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NO.PZ2016031001000084 问题如下 The bonequivalent yielof a 180-y banker’s acceptanquotea scount rate of 4.25% for a 360-y yeis closest to: A.4.31%. B.4.34%. C.4.40%. C is correct.The bonequivalent yielis closest to 4.40%. The present value of the banker’s acceptanis calculateas:PV=FV×(1−ysYear×)PV=FV\times{(1-\frac{ys}{Year}\times )}PV=FV×(1−Yearys​×)PV=100×(1−ysYear×)PV=100\times{(1-\frac{ys}{Year}\times )}PV=100×(1−Yearys​×)PV=100×(1−180360×0.0425)PV=100\times{(1-\frac{180}{360}\times0.0425)}PV=100×(1−360180​×0.0425)PV = 100 × (1 – 0.02125)PV = 100 × 0.97875PV = 97.875The bonequivalent yiel(AOR) is calculateas:AOR=(Yearys)×(FV−PVPV)AOR={(\frac{Year}{ys})}\times{(\frac{FV-PV}{PV})}AOR=(ysYear​)×(PVFV−PV​)AOR=(365180)×(100−PVPV)AOR={(\frac{365}{180})}\times{(\frac{100-PV}{PV})}AOR=(180365​)×(PV100−PV​)AOR=(365180)×(100−97.87597.875)AOR={(\frac{365}{180})}\times{(\frac{100-97.875}{97.875})}AOR=(180365​)×(97.875100−97.875​)AOR = 2.02778 × 0.02171AOR = 0.04402, or approximately 4.40%Note ththe PV is calculateusing assume360-y yeanthe AOR (bonequivalent yiel is calculateusing a 365-y year.考点YielMeasures解析考查的是scount yiel a-on yiel间的转换。1.题目给出了scount rate=4.25%，可以算出PV=100×（1-180/360×4.25%）=97.875。2.然后通过计算出来的PV再计算BEY，BEY就是365天形式的a-on-yielBEY=365/180×(100-97.875)/97.875=4.40%，故C正确。 为什么不是100/(1+180/360×4.25%)

2024-10-26 16:50 2 · 回答

NO.PZ2016031001000084 问题如下 The bonequivalent yielof a 180-y banker’s acceptanquotea scount rate of 4.25% for a 360-y yeis closest to: A.4.31%. B.4.34%. C.4.40%. C is correct.The bonequivalent yielis closest to 4.40%. The present value of the banker’s acceptanis calculateas:PV=FV×(1−ysYear×)PV=FV\times{(1-\frac{ys}{Year}\times )}PV=FV×(1−Yearys​×)PV=100×(1−ysYear×)PV=100\times{(1-\frac{ys}{Year}\times )}PV=100×(1−Yearys​×)PV=100×(1−180360×0.0425)PV=100\times{(1-\frac{180}{360}\times0.0425)}PV=100×(1−360180​×0.0425)PV = 100 × (1 – 0.02125)PV = 100 × 0.97875PV = 97.875The bonequivalent yiel(AOR) is calculateas:AOR=(Yearys)×(FV−PVPV)AOR={(\frac{Year}{ys})}\times{(\frac{FV-PV}{PV})}AOR=(ysYear​)×(PVFV−PV​)AOR=(365180)×(100−PVPV)AOR={(\frac{365}{180})}\times{(\frac{100-PV}{PV})}AOR=(180365​)×(PV100−PV​)AOR=(365180)×(100−97.87597.875)AOR={(\frac{365}{180})}\times{(\frac{100-97.875}{97.875})}AOR=(180365​)×(97.875100−97.875​)AOR = 2.02778 × 0.02171AOR = 0.04402, or approximately 4.40%Note ththe PV is calculateusing assume360-y yeanthe AOR (bonequivalent yiel is calculateusing a 365-y year.考点YielMeasures解析考查的是scount yiel a-on yiel间的转换。1.题目给出了scount rate=4.25%，可以算出PV=100×（1-180/360×4.25%）=97.875。2.然后通过计算出来的PV再计算BEY，BEY就是365天形式的a-on-yielBEY=365/180×(100-97.875)/97.875=4.40%，故C正确。 The bonequivalent yielof a 180-y banker’s acceptanquotea scount rate of 4.25% ，求PV为什么不是(FV-PV)/FV * 365/180 ?这里不是说的BEY的scount rate么？后面for a 360-y yeis closest to不是说的算360天的AOR么？

2024-05-27 21:10 1 · 回答

NO.PZ2016031001000084 问题如下 The bonequivalent yielof a 180-y banker’s acceptanquotea scount rate of 4.25% for a 360-y yeis closest to: A.4.31%. B.4.34%. C.4.40%. C is correct.The bonequivalent yielis closest to 4.40%. The present value of the banker’s acceptanis calculateas:PV=FV×(1−ysYear×)PV=FV\times{(1-\frac{ys}{Year}\times )}PV=FV×(1−Yearys​×)PV=100×(1−ysYear×)PV=100\times{(1-\frac{ys}{Year}\times )}PV=100×(1−Yearys​×)PV=100×(1−180360×0.0425)PV=100\times{(1-\frac{180}{360}\times0.0425)}PV=100×(1−360180​×0.0425)PV = 100 × (1 – 0.02125)PV = 100 × 0.97875PV = 97.875The bonequivalent yiel(AOR) is calculateas:AOR=(Yearys)×(FV−PVPV)AOR={(\frac{Year}{ys})}\times{(\frac{FV-PV}{PV})}AOR=(ysYear​)×(PVFV−PV​)AOR=(365180)×(100−PVPV)AOR={(\frac{365}{180})}\times{(\frac{100-PV}{PV})}AOR=(180365​)×(PV100−PV​)AOR=(365180)×(100−97.87597.875)AOR={(\frac{365}{180})}\times{(\frac{100-97.875}{97.875})}AOR=(180365​)×(97.875100−97.875​)AOR = 2.02778 × 0.02171AOR = 0.04402, or approximately 4.40%Note ththe PV is calculateusing assume360-y yeanthe AOR (bonequivalent yiel is calculateusing a 365-y year.考点YielMeasures解析考查的是scount yiel a-on yiel间的转换。1.题目给出了scount rate=4.25%，可以算出PV=100×（1-180/360×4.25%）=97.875。2.然后通过计算出来的PV再计算BEY，BEY就是365天形式的a-on-yielBEY=365/180×(100-97.875)/97.875=4.40%，故C正确。 : (FV-PV)/FV *360/180=4.25, 得出PV=-7.5FVAOR （FV-PV）/PV* 365/180=? 代入PV=-7.5FV，求AOR这样做为啥不对？为啥要用算PV反算这种才能算

2024-04-25 10:06 1 · 回答

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2024-02-10 12:50 1 · 回答

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2022-10-08 17:15 1 · 回答