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小可爱和大灰狼 · 2020年11月10日

问一道题：NO.PZ2016031001000084

问题如下：

The bond equivalent yield of a 180-day banker’s acceptance quoted at a discount rate of 4.25% for a 360-day year is closest to:

选项：

A.

4.31%.

B.

4.34%.

C.

4.40%.

解释：

C is correct.

The bond equivalent yield is closest to 4.40%. The present value of the banker’s acceptance is calculated as:

$PV=FV\times{(1-\frac{Days}{Year}\times DR)}$

where:

PV = present value, or price of the money market instrument

FV = future value paid at maturity, or face value of the money market instrument

Days = number of days between settlement and maturity

Year = number of days in the year

DR = discount rate, stated as an annual percentage rate

$PV=100\times{(1-\frac{Days}{Year}\times DR)}$

$PV=100\times{(1-\frac{180}{360}\times0.0425)}$

PV = 100 × (1 – 0.02125)

PV = 100 × 0.97875

PV = 97.875

The bond equivalent yield (AOR) is calculated as:

$AOR={(\frac{Year}{Days})}\times{(\frac{FV-PV}{PV})}$

where:

PV = present value, principal amount, or the price of the money market instrument

FV = future value, or the redemption amount paid at maturity including interest

Days = number of days between settlement and maturity

Year = number of days in the year

AOR = add-on rate (bond equivalent yield), stated as an annual percentage rate

$AOR={(\frac{365}{180})}\times{(\frac{100-PV}{PV})}$

$AOR={(\frac{365}{180})}\times{(\frac{100-97.875}{97.875})}$

AOR = 2.02778 × 0.02171

AOR = 0.04402, or approximately 4.40%

Note that the PV is calculated using an assumed 360-day year and the AOR (bond equivalent yield) is calculated using a 365-day year.

何老师在基础班和强化班讲这个AOR的计算好像都是用的360天算的。。。我隐约记得好像说一般AOR都是用365算的，除非题目有特殊说明用360天算。考试中遇到的话是就统一用365天算吗，特别是遇到这种用这两个天数算都有答案的。。。

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吴昊_品职助教 · 2020年11月10日

同学你好：

题干会说明让我们具体求的是什么，如果题干中出现了bond equivalent yield（BEY），就一定是365的AOR，就好比现在这道题，求的就是365的AOR。如果只是让我们求AOR，那就是360天的。

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