问一道题：NO.PZ2020011303000216

问题如下：

How can yield-based duration be calculated for a bond without revaluation?

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解释：

Macaulay’s yield-based duration is the weighted average of the times when cash flows are received with the weight applied to time t being proportional to the present value of the cash flow at time t. This is a correct yield-based duration measure when rates are expressed with continuous compounding. It must be divided by (1 + y/2) where y is the yield when rates are expressed with semiannual compounding.

老师您好，这道题目的答案大概可以理解，想请问下对应到讲义这部分讲的知识点是什么？如果考试计算题的话，出题的角度和考察的题型又会是什么？谢谢

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袁园_品职助教 · 2020年03月12日

同学你好！

这道题就是在问 Macaulay Duration 的计算方法，我们需要注意的就是每一期现金流除以的是他这一期对应的折现率，所以半年复息一次的时候，要除以 (1+y/2)^t，这个t表示的是第几期（例如第一年就是第二期，则t=2）。

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NO.PZ2020011303000216问题如下How cyielbaseration calculatefor a bonwithout revaluation? Macaulay’s yielbaseration is the weighteaverage of the times when cash flows are receivewith the weight applieto time t being proportionto the present value of the cash flow time t. This is a correyielbaseration measure when rates are expressewith continuous compounng. It must vi(1 + y/2) where y is the yielwhen rates are expressewith semiannucompounng.题目问如何在不重新估计的情况下计算收益率的久期？麦考林久期的基本计算方法是以现金流现值为权重的时间加权平均。需注意每一期现金流除以的是这一期对应的折现率，半年付息一次的时候，要除以 (1+y/2)^t，这个t表示的是第几期（例如第一年就是第二期，则t=2）老师好，这题的“without revaluation”是什么意思？

2024-07-18 22:54 3 · 回答

问一道题：NO.PZ2020011303000216

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