【金融市場與產品】FRM一級每日一題
A Treasury bond has a semi- annually compounded yield of 4% per annum and a coupon rate of 6% per annum (the coupons are paid semi-annually). The bond matures in 18 months and the next coupon will be paid 6 months from now. Which number below is closest to the bond’s Macaulay duration?
a,1.023 years
b,1.457 years
c,1.500 years
d,2.915 years
Answer: B
|
Year |
CF |
PV |
||
|
0.5 |
3 |
2.94 |
2.86% |
0.0143 |
|
1 |
3 |
2.88 |
2.80% |
0.028 |
|
1.5 |
103 |
97.06 |
94.34% |
1.4151 |
|
Total |
|
102.88 |
|
1.4574 |
