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Roxanne_104 · 2020年03月22日

问一道题:NO.PZ2016082402000001 [ FRM I ]

问题如下:

An investor buys a Treasury bill maturing in one month for $987. On the maturity date the investor collects $1,000. Calculate effective annual rate (EAR).

选项:

A.

17.0%

B.

15.8%

C.

13.0%

D.

11.6%

解释:

ANSWER: A

The EAR is defined byFVPV=(1+EAR)T\frac{FV}{PV}={(1+EAR)}^T . So (FVPV)1T1{(\frac{FV}{PV})}^\frac1T-1  EAR =  . Here, T = 1/12. So, EAR =   (1,000987)121=17.0%\;{(\frac{1,000}{987})}^{12}-1=17.0\%

老师,我没明白,我这样算错在了哪里?
2 个答案

袁园_品职助教 · 2020年03月26日

同学你好!

债券价格从987到1000是一个月的时间期限,所以你 ^12 是不对的,括号里直接加EAR,括号外 ^(1/12),这才是有效年利率。

987*(1+EAR)^(1/12) = 1000

另一种思路就是 1000/987 得到一个月的利率,再用这一个月的利率 ^12 -1 得到 EAR

袁园_品职助教 · 2020年03月23日

同学你好!

你是怎么算的?可以把你的计算方法写出来吗?

Roxanne_104 · 2020年03月25日

987(1+r/12)^12=1000

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NO.PZ2016082402000001 问题如下 investor buys a Treasury bill maturing in one month for $987. On the maturity te the investor collects $1,000. Calculate effective annurate (EAR). A.17.0% B.15.8% C.13.0% 11.6% ANSWER: AThe Eis finebyFVPV=(1+EAR)T\frac{FV}{PV}={(1+EAR)}^TPVFV​=(1+EAR)T . So (FVPV)1T−1{(\frac{FV}{PV})}^\frac1T-1(PVFV​)T1​−1 E= . Here, T = 1/12. So, E=   (1,000987)12−1=17.0%\;{(\frac{1,000}{987})}^{12}-1=17.0\%(9871,000​)12−1=17.0% EAR和BEY在讲义的哪个地方,找不到了

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