开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

杨舒芃 · 2021年06月08日

想问一下什么时候BEY指365天的addon yield， 什么时候指APR2

  1. CFA I
  2. Fixed Income

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×(1−DaysYear×DR)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×(1−DaysYear×DR)PV=100\times{(1-\frac{Days}{Year}\times DR)}

PV=100×(1−180360×0.0425)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=(YearDays)×(FV−PVPV)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=(365180)×(100−PVPV)AOR={(\frac{365}{180})}\times{(\frac{100-PV}{PV})}

AOR=(365180)×(100−97.87597.875)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.

想问一下什么时候BEY指365天的addon yield， 什么时候指APR2

添加评论
1 个答案

吴昊_品职助教 · 2021年06月08日

嗨，努力学习的PZer你好：


同学你好：

两个BEY主要是根据产品区分的。分为货币市场工具的BEY，和资本市场Capital Market的BEY。

货币市场是365天以下的投资工具，计算的Bond Equivalent Yield是一年按365天算的Add-on Yield。计算BEY时的计算公式是：【(FV-PV)/PV】×365/days

而在计算一年以上长期债券，提到的BEY是长期债券的BEY，是长期债券的分母的折现率，semi-annual yield，然后double一下，算BEY。

记忆的话碰到货币市场的就是用365/Days这个。碰到有债券折现算出来的semiannual YTM乘以2就是资本市场工具的BEY。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 0

    关注

  • 763

    浏览
相关问题

NO.PZ2016031001000084 问题如下 The bonequivalent yielof a 180-y banker’s acceptanquotea scount rate of 4.25% for a 360-y yeis closest to: A.4.31%. B.4.34%. C.4.40%. C is correct.The bonequivalent yielis closest to 4.40%. The present value of the banker’s acceptanis calculateas:PV=FV×(1−ysYear×)PV=FV\times{(1-\frac{ys}{Year}\times )}PV=FV×(1−Yearys​×)PV=100×(1−ysYear×)PV=100\times{(1-\frac{ys}{Year}\times )}PV=100×(1−Yearys​×)PV=100×(1−180360×0.0425)PV=100\times{(1-\frac{180}{360}\times0.0425)}PV=100×(1−360180​×0.0425)PV = 100 × (1 – 0.02125)PV = 100 × 0.97875PV = 97.875The bonequivalent yiel(AOR) is calculateas:AOR=(Yearys)×(FV−PVPV)AOR={(\frac{Year}{ys})}\times{(\frac{FV-PV}{PV})}AOR=(ysYear​)×(PVFV−PV​)AOR=(365180)×(100−PVPV)AOR={(\frac{365}{180})}\times{(\frac{100-PV}{PV})}AOR=(180365​)×(PV100−PV​)AOR=(365180)×(100−97.87597.875)AOR={(\frac{365}{180})}\times{(\frac{100-97.875}{97.875})}AOR=(180365​)×(97.875100−97.875​)AOR = 2.02778 × 0.02171AOR = 0.04402, or approximately 4.40%Note ththe PV is calculateusing assume360-y yeanthe AOR (bonequivalent yiel is calculateusing a 365-y year.考点YielMeasures解析考查的是scount yiel a-on yiel间的转换。1.题目给出了scount rate=4.25%，可以算出PV=100×（1-180/360×4.25%）=97.875。2.然后通过计算出来的PV再计算BEY，BEY就是365天形式的a-on-yielBEY=365/180×(100-97.875)/97.875=4.40%，故C正确。 为什么不是100/(1+180/360×4.25%)

2024-10-26 16:50 2 · 回答

NO.PZ2016031001000084 问题如下 The bonequivalent yielof a 180-y banker’s acceptanquotea scount rate of 4.25% for a 360-y yeis closest to: A.4.31%. B.4.34%. C.4.40%. C is correct.The bonequivalent yielis closest to 4.40%. The present value of the banker’s acceptanis calculateas:PV=FV×(1−ysYear×)PV=FV\times{(1-\frac{ys}{Year}\times )}PV=FV×(1−Yearys​×)PV=100×(1−ysYear×)PV=100\times{(1-\frac{ys}{Year}\times )}PV=100×(1−Yearys​×)PV=100×(1−180360×0.0425)PV=100\times{(1-\frac{180}{360}\times0.0425)}PV=100×(1−360180​×0.0425)PV = 100 × (1 – 0.02125)PV = 100 × 0.97875PV = 97.875The bonequivalent yiel(AOR) is calculateas:AOR=(Yearys)×(FV−PVPV)AOR={(\frac{Year}{ys})}\times{(\frac{FV-PV}{PV})}AOR=(ysYear​)×(PVFV−PV​)AOR=(365180)×(100−PVPV)AOR={(\frac{365}{180})}\times{(\frac{100-PV}{PV})}AOR=(180365​)×(PV100−PV​)AOR=(365180)×(100−97.87597.875)AOR={(\frac{365}{180})}\times{(\frac{100-97.875}{97.875})}AOR=(180365​)×(97.875100−97.875​)AOR = 2.02778 × 0.02171AOR = 0.04402, or approximately 4.40%Note ththe PV is calculateusing assume360-y yeanthe AOR (bonequivalent yiel is calculateusing a 365-y year.考点YielMeasures解析考查的是scount yiel a-on yiel间的转换。1.题目给出了scount rate=4.25%，可以算出PV=100×（1-180/360×4.25%）=97.875。2.然后通过计算出来的PV再计算BEY，BEY就是365天形式的a-on-yielBEY=365/180×(100-97.875)/97.875=4.40%，故C正确。 The bonequivalent yielof a 180-y banker’s acceptanquotea scount rate of 4.25% ，求PV为什么不是(FV-PV)/FV * 365/180 ?这里不是说的BEY的scount rate么？后面for a 360-y yeis closest to不是说的算360天的AOR么？

2024-05-27 21:10 1 · 回答

NO.PZ2016031001000084 问题如下 The bonequivalent yielof a 180-y banker’s acceptanquotea scount rate of 4.25% for a 360-y yeis closest to: A.4.31%. B.4.34%. C.4.40%. C is correct.The bonequivalent yielis closest to 4.40%. The present value of the banker’s acceptanis calculateas:PV=FV×(1−ysYear×)PV=FV\times{(1-\frac{ys}{Year}\times )}PV=FV×(1−Yearys​×)PV=100×(1−ysYear×)PV=100\times{(1-\frac{ys}{Year}\times )}PV=100×(1−Yearys​×)PV=100×(1−180360×0.0425)PV=100\times{(1-\frac{180}{360}\times0.0425)}PV=100×(1−360180​×0.0425)PV = 100 × (1 – 0.02125)PV = 100 × 0.97875PV = 97.875The bonequivalent yiel(AOR) is calculateas:AOR=(Yearys)×(FV−PVPV)AOR={(\frac{Year}{ys})}\times{(\frac{FV-PV}{PV})}AOR=(ysYear​)×(PVFV−PV​)AOR=(365180)×(100−PVPV)AOR={(\frac{365}{180})}\times{(\frac{100-PV}{PV})}AOR=(180365​)×(PV100−PV​)AOR=(365180)×(100−97.87597.875)AOR={(\frac{365}{180})}\times{(\frac{100-97.875}{97.875})}AOR=(180365​)×(97.875100−97.875​)AOR = 2.02778 × 0.02171AOR = 0.04402, or approximately 4.40%Note ththe PV is calculateusing assume360-y yeanthe AOR (bonequivalent yiel is calculateusing a 365-y year.考点YielMeasures解析考查的是scount yiel a-on yiel间的转换。1.题目给出了scount rate=4.25%，可以算出PV=100×（1-180/360×4.25%）=97.875。2.然后通过计算出来的PV再计算BEY，BEY就是365天形式的a-on-yielBEY=365/180×(100-97.875)/97.875=4.40%，故C正确。 : (FV-PV)/FV *360/180=4.25, 得出PV=-7.5FVAOR （FV-PV）/PV* 365/180=? 代入PV=-7.5FV，求AOR这样做为啥不对？为啥要用算PV反算这种才能算

2024-04-25 10:06 1 · 回答

NO.PZ2016031001000084问题如下The bonequivalent yielof a 180-y banker’s acceptanquotea scount rate of 4.25% for a 360-y yeis closest to:A.4.31%.B.4.34%.C.4.40%. C is correct.The bonequivalent yielis closest to 4.40%. The present value of the banker’s acceptanis calculateas:PV=FV×(1−ysYear×)PV=FV\times{(1-\frac{ys}{Year}\times )}PV=FV×(1−Yearys​×)PV=100×(1−ysYear×)PV=100\times{(1-\frac{ys}{Year}\times )}PV=100×(1−Yearys​×)PV=100×(1−180360×0.0425)PV=100\times{(1-\frac{180}{360}\times0.0425)}PV=100×(1−360180​×0.0425)PV = 100 × (1 – 0.02125)PV = 100 × 0.97875PV = 97.875The bonequivalent yiel(AOR) is calculateas:AOR=(Yearys)×(FV−PVPV)AOR={(\frac{Year}{ys})}\times{(\frac{FV-PV}{PV})}AOR=(ysYear​)×(PVFV−PV​)AOR=(365180)×(100−PVPV)AOR={(\frac{365}{180})}\times{(\frac{100-PV}{PV})}AOR=(180365​)×(PV100−PV​)AOR=(365180)×(100−97.87597.875)AOR={(\frac{365}{180})}\times{(\frac{100-97.875}{97.875})}AOR=(180365​)×(97.875100−97.875​)AOR = 2.02778 × 0.02171AOR = 0.04402, or approximately 4.40%Note ththe PV is calculateusing assume360-y yeanthe AOR (bonequivalent yiel is calculateusing a 365-y year.考点YielMeasures解析考查的是scount yiel a-on yiel间的转换。1.题目给出了scount rate=4.25%，可以算出PV=100×（1-180/360×4.25%）=97.875。2.然后通过计算出来的PV再计算BEY，BEY就是365天形式的a-on-yielBEY=365/180×(100-97.875)/97.875=4.40%，故C正确。 这道题在算pv的时候为什么会选择180而不是360。

2024-02-10 12:50 1 · 回答

NO.PZ2016031001000084 问题如下 The bonequivalent yielof a 180-y banker’s acceptanquotea scount rate of 4.25% for a 360-y yeis closest to: A.4.31%. B.4.34%. C.4.40%. C is correct.The bonequivalent yielis closest to 4.40%. The present value of the banker’s acceptanis calculateas:PV=FV×(1−ysYear×)PV=FV\times{(1-\frac{ys}{Year}\times )}PV=FV×(1−Yearys​×)PV=100×(1−ysYear×)PV=100\times{(1-\frac{ys}{Year}\times )}PV=100×(1−Yearys​×)PV=100×(1−180360×0.0425)PV=100\times{(1-\frac{180}{360}\times0.0425)}PV=100×(1−360180​×0.0425)PV = 100 × (1 – 0.02125)PV = 100 × 0.97875PV = 97.875The bonequivalent yiel(AOR) is calculateas:AOR=(Yearys)×(FV−PVPV)AOR={(\frac{Year}{ys})}\times{(\frac{FV-PV}{PV})}AOR=(ysYear​)×(PVFV−PV​)AOR=(365180)×(100−PVPV)AOR={(\frac{365}{180})}\times{(\frac{100-PV}{PV})}AOR=(180365​)×(PV100−PV​)AOR=(365180)×(100−97.87597.875)AOR={(\frac{365}{180})}\times{(\frac{100-97.875}{97.875})}AOR=(180365​)×(97.875100−97.875​)AOR = 2.02778 × 0.02171AOR = 0.04402, or approximately 4.40%Note ththe PV is calculateusing assume360-y yeanthe AOR (bonequivalent yiel is calculateusing a 365-y year.考点YielMeasures解析考查的是scount yiel a-on yiel间的转换。1.题目给出了scount rate=4.25%，可以算出PV=100×（1-180/360×4.25%）=97.875。2.然后通过计算出来的PV再计算BEY，BEY就是365天形式的a-on-yielBEY=365/180×(100-97.875)/97.875=4.40%，故C正确。 请问题目里不是说360吗？

2022-10-08 17:15 1 · 回答