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Mangogo · 2020年11月27日

问一道题:NO.PZ2018062010000027

问题如下:

The discount rate of a 180-day banker’s acceptance for a 360-day year quoted at a bond equivalent yield of 6.72% is closest to:

选项:

A.

6.62%

B.

6.51%

C.

6.42%

解释:

C is correct.

Bond equivalent yield (BEY) for money market security is yield stated on a 365-day add-on rate basis.

lBEY=365180100PVPV=6.72%{l}BEY=\frac{365}{180}\ast\frac{100-PV}{PV}=6.72\%\\\\

PV=96.79

PV=100*[1-(180/360)*discount rate]=96.79

discount rate=0.0642

老师好,通过BEY反算出PV=96.793以后,算discount yield=(100-96.793)/96.793 *360/180 为什么总是得出6.62%这个答案呢。求教~

1 个答案
已采纳答案

吴昊_品职助教 · 2020年11月27日

同学你好:

你的列式有问题,第一项的分母不是96.79,而应该是100。discount yield=(100-96.79)/100 *360/180=0.0642

DR=(1-PV/FV)×(year/day)

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NO.PZ2018062010000027问题如下 The scount rate of a 180-y banker’s acceptanfor a 360-y yequotea bonequivalent yielof 6.72% is closest to: A.6.62%B.6.51%C.6.42% C is correct.Bonequivalent yiel(BEY) for money market security is yielstateon a 365-y a-on rate basis.lBEY=365180∗100−PVPV=6.72%{l}BEY=\frac{365}{180}\ast\frac{100-PV}{PV}=6.72\%\\\\lBEY=180365​∗PV100−PV​=6.72%PV=96.79PV=100*[1-(180/360)*scount rate]=96.79scount rate=0.0642考点BEY解析本题考点是scount yielBEY之间的转换。我们通过BEY反求出PV,即PV=96.79。注意BEY中的year要代入365,因为BEY是365天的AOR。有了FV和PV再代入上述第二个公式从而算得scount yiel即scount rate=0.0642。注意,scount yielYear应该代入题目已知条件360。 100*(1-0.0672*(180/360))=96.64((100-96.64)/96.64)*(365/180)=0.0705怎么我算的数是这么多?按了几遍计算器都是这么多呀

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