作者mango1231 (是谁杀了Mr.FRM?)
看板CFAiafeFSA
标题[问题] 求救啊....高手帮我吧...
时间Tue Oct 31 14:32:10 2006
我有二题不会的.可以麻烦大家帮我解吗....
1. A bond protfolio manager invests 20 million is a bond insued
at par that matures in 30 years, and that promises to pay an annual inerest
rate of 9 percent. The interest is paid once per year, and the payments are
reinvested at an annual interest rate of 8 percent. The first payment if one
year from today. What is the annual yield on this investment ?
答案是:8.385%
2. A portfolio consists of two positions: one position is long 100m of a
2-year bond priced at 101 with a duration of 1.7; the other position is
short 50million of a 5-year bond priced at 99 with a duration of 4.1.
What is the duration of the protfolio ?
答案是:-0.61
我比较笨..希望大家帮我解一下.谢谢....
--
※ 发信站: 批踢踢实业坊(ptt.cc)
◆ From: 218.187.214.210
1F:→ mango1231:第一题已经解出... 10/31 23:20
2F:→ mango1231:第二题也解出..原来这里没高手... 11/01 12:24
3F:推 NCKZ:我笑了 11/01 12:38
4F:→ Kyosuke:...........这个版是这样用的啊?.......... 11/02 18:31