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柚柚_柚 · 2020年06月08日

问一道题：NO.PZ2020011303000220 [ FRM I ]

  1. FRM I
  2. Valuation And Risk Models

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.)

解释：

The effective convexity is

(67.231190+ 67.363145－2×67.297133)/ (67.297133×0.00012)=100.9

Note that more decimal places than those indicated were kept to provide this estimate of convexity.

你好 请问这个价格变动的三个67是怎么得到的呢
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已采纳答案

袁园_品职助教 · 2020年06月08日

同学你好！

根据 effective convexity 的计算公式，你需要先计算出 V0, V+, V-

例如：V0 = 100/(1+4%/2)^20 = 67.297133

其余两个你可以试着自己算算看，不懂得话可以继续提问

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NO.PZ2020011303000220 问题如下 Consir a zero-coupon bonwith a favalue of US100 ana maturity of ten years. Whis the effective convexity of the bonwhen the ten-yerate is 4% with semi-annucompounng? (Consir one basis-point changes anmeasure rates cimals.) The effective convexity is (67.231190+ 67.363145－2×67.297133)/ (67.297133×0.00012)=102.53Note thmore cimplaces ththose incatewere kept to provi this estimate of convexity. 题目问一个零息债券的面值是100US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 算法我明白，但是为什么零息债还能按半年付息

2024-10-20 18:19 1 · 回答

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