问题如下:
What is the effective duration and convexity of a three-year Treasury bond with a face value of 1 million and a coupon of 4% when the term structure is flat at 5%? Express interest rates in decimals and consider five-basis-point changes.
选项:
解释:
The value of the bond is 97.245937. When there is five-basis-point increase in all rates so that the term structure is flat at 5.05%, the value falls by 0.135287 to 97.110650. When there is a five-basis-point decrease in all rates so that the term structure is flat at 4.95%, the value rises by 0.135514 to 97.381452. The duration is
0.5×(0.135287+0.135514)/(97.245937×0.0005)=2.784703
The convexity is
(97.110650+ 97.381452-2×97.245937)/(97.245937× 0.00052)=9.35
Note that even more decimal places than those indicated is necessary to provide
this estimate of convexity.
The value of the bond is 97.245937这个是怎么计算出来的?对face value,par value,market value ,bond price,pv,fv这几个名词,在做题的时候很晕,不知道什么时候要计算什么,麻烦老师再帮忙讲解一下,谢谢。