Danlei · 2021年10月30日
NO.PZ2020011303000243
问题如下：
A two-year bond with a coupon of 8% and a face value of USD 10,000. There are two buckets: 0-1 year and 1-2 year, and the forward bucket 01s are 1.0358 and 0.9604 correspondingly.
Assume that the term structure is flat at 4% (semi-annually compounded).
Convert the forward bucket 01s to durations.
选项：
解释：
The value of the bond is
The duration measure for the first forward bucket is
The duration measure for the second forward bucket is
这一题，以及前面一个题，都没太看懂。
请问这个考点的计算，重要么？
NO.PZ2020011303000243 问题如下 A two-yebonwith a coupon of 8% ana favalue of US10,000. There are two buckets: 0-1 yean1-2 year, anthe forwarbucket 01s are 1.0358 an0.9604 corresponngly.Assume ththe term structure is fl4% (semi-annually compoun. Convert the forwarbucket 01s to rations. The value of the bonis 4001.02+4001.022+4001.023+10,4001.024=10,761.5457\frac{400}{1.02}+\frac{400}{1.02^2}+\frac{400}{1.02^3}+\frac{10,400}{1.02^4}=10,761.54571.02400+1.022400+1.023400+1.02410,400=10,761.5457The ration measure for the first forwarbucket is10,000×1.035810,761.5457=0.9625\frac{10,000\times1.0358}{10,761.5457}=0.962510,761.545710,000×1.0358=0.9625The ration measure for the seconforwarbucket is10,000×0.960410,761.5457=0.8924\frac{10,000\times0.9604}{10,761.5457}=0.892410,761.545710,000×0.9604=0.8924题目问2年期的债券couponrate是8%，面值是10k，当有2个buckets0-1年和1-2年时，forwarbucket 01s 为 1.0358 和 0.9604.假设利率的期限结构是flat，4%的利率，半年付息一次。请将forwarbucket 01s转化成为rations。ration=面值*forwarucket 01/债券价格 ration=面值*forwarbucket 01/债券价格这里为什么不是value而是面值？
NO.PZ2020011303000243问题如下 A two-yebonwith a coupon of 8% ana favalue of US10,000. There are two buckets: 0-1 yean1-2 year, anthe forwarbucket 01s are 1.0358 an0.9604 corresponngly.Assume ththe term structure is fl4% (semi-annually compoun. Convert the forwarbucket 01s to rations. The value of the bonis 4001.02+4001.022+4001.023+10,4001.024=10,761.5457\frac{400}{1.02}+\frac{400}{1.02^2}+\frac{400}{1.02^3}+\frac{10,400}{1.02^4}=10,761.54571.02400+1.022400+1.023400+1.02410,400=10,761.5457The ration measure for the first forwarbucket is10,000×1.035810,761.5457=0.9625\frac{10,000\times1.0358}{10,761.5457}=0.962510,761.545710,000×1.0358=0.9625The ration measure for the seconforwarbucket is10,000×0.960410,761.5457=0.8924\frac{10,000\times0.9604}{10,761.5457}=0.892410,761.545710,000×0.9604=0.8924题目问2年期的债券couponrate是8%，面值是10k，当有2个buckets0-1年和1-2年时，forwarbucket 01s 为 1.0358 和 0.9604.假设利率的期限结构是flat，4%的利率，半年付息一次。请将forwarbucket 01s转化成为rations。ration=面值*forwarucket 01/债券价格 请问一下为什么这里的ration不带负号呢？
Assume ththe term structure is flat 4% (semi-annually compoun ——这是什么意思？没有读懂题目，也不懂这里考的啥
