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杨舒芃 · 2021年06月08日

为什么要考虑那个settlement的时间呢

  1. CFA I
  2. Fixed Income

NO.PZ2016031001000083

问题如下：

A 365-day year bank certificate of deposit has an initial principal amount of USD 96.5 million and a redemption amount due at maturity of USD 100 million. The number of days between settlement and maturity is 350. The bond equivalent yield is closest to:

选项：

A.

3.48%.

B.

3.65%.

C.

3.78%.

解释：

C is correct.

The bond equivalent yield is closest to 3.78%. It 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, stated as an annual percentage rate (also, called bond equivalent yield).

AOR=(365350)×(100−96.596.5)AOR={(\frac{365}{350})}\times{(\frac{100-96.5}{96.5})}

AOR = 1.04286 × 0.03627

AOR = 0.03783 or approximately 3.78%

为什么要考虑那个settlement的时间呢

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1 个答案

吴昊_品职助教 · 2021年06月08日

嗨，爱思考的PZer你好：


同学你好：

这个settlement date是产品交割日，代表标的物交易一次的转手。而days between settlement and maturity，就是指还有多长时间到期，这是Money markets产品的说法。对应到债券里面就是time-to-maturity。所以本题的说法就是这种产品350天后到期，对应day=350。

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NO.PZ2016031001000083 老师，这个题我用 pv=-96.5 fv=100 n=350/365 pmt=0 compute i/yr 算出来答案一样的，这种算法是凑巧还是也可以

2022-01-16 08:55 1 · 回答

NO.PZ2016031001000083 3.65%. 3.78%. C is correct. The bonequivalent yielis closest to 3.78%. It is calculateas: AOR=(Yearys)×(FV−PVPV)AOR={(\frac{Year}{ys})}\times{(\frac{FV-PV}{PV})}AOR=(ysYear​)×(PVFV−PV​) where: PV = present value, principamount, or the priof the money market instrument FV = future value, or the remption amount paimaturity inclung interest ys = number of ys between settlement anmaturity Ye= number of ys in the yeAOR = a-on rate, stateannupercentage rate (also, callebonequivalent yiel. AOR=(365350)×(100−96.596.5)AOR={(\frac{365}{350})}\times{(\frac{100-96.5}{96.5})}AOR=(350365​)×(96.5100−96.5​) AOR = 1.04286 × 0.03627 AOR = 0.03783 or approximately 3.78% 考点BonEquivalent Yiel解析BonEquivalent Yiel一年按365天算的A-on YielBEY=【(FV-PV)/PV】×365/ys，代入可得BEY=3.78%，故C正确。 这个题我的理解是一年期的C购买价格是96.5到期赎回价格是100（1年后到期的赎回价格），在15天的时候卖出，然后求BEY。这个和解答不太一致。不知是我翻译理解错了，还是这个题出得有问题？

2022-01-07 12:42 1 · 回答

为什么不用复利？这部分好混乱！什么时候用单利，什么时候用复利？

2020-11-01 16:25 2 · 回答

3.65%. 3.78%. C is correct. The bonequivalent yielis closest to 3.78%. It is calculateas: AOR=(Yearys)×(FV−PVPV)AOR={(\frac{Year}{ys})}\times{(\frac{FV-PV}{PV})}AOR=(ysYear​)×(PVFV−PV​) where: PV = present value, principamount, or the priof the money market instrument FV = future value, or the remption amount paimaturity inclung interest ys = number of ys between settlement anmaturity Ye= number of ys in the yeAOR = a-on rate, stateannupercentage rate (also, callebonequivalent yiel. AOR=(365350)×(100−96.596.5)AOR={(\frac{365}{350})}\times{(\frac{100-96.5}{96.5})}AOR=(350365​)×(96.5100−96.5​) AOR = 1.04286 × 0.03627 AOR = 0.03783 or approximately 3.78% BEY不是半年复利一次吗？为什么不用转换成半年复利的利息？

2020-08-24 13:54 1 · 回答