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Sofia nice · 2024年04月25日

这样做为啥不对？

  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)}

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})}

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.

考点：Yield Measures

解析：考查的是discount yield和 add-on yield之间的转换。1.题目给出了discount 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add-on-yield，BEY=365/180×(100-97.875)/97.875=4.40%，故选项C正确。

DR: (FV-PV)/FV *360/180=4.25, 得出PV=-7.5FV

AOR ： （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

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吴昊_品职助教 · 2024年04月25日

嗨，努力学习的PZer你好：


DR: (FV-PV)/FV *360/180=4.25%（这里的百分号是不能漏的）, 得出PV=-7.5FV，你这一步计算错误。

你的思路是可以的，正确的步骤如下：

1、1-PV/FV=4.25%/2 = 0.02125，所以PV/FV = 0.97875，即PV=0.97875FV

2、（FV/PV-1）×365/180 = (1.0217-1)×365/180 = 0.04402 = 4.402%

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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