[問題] 求救啊....高手幫我吧...
看板CFAiafeFSA (精算師/基金經理人/銀行家)作者mango1231 (是誰殺了Mr.FRM？)時間19年前 (2006/10/31 14:31)推噓1(1推 0噓 3→)留言4則, 3人參與討論串1/1
我有二題不會的.可以麻煩大家幫我解嗎....
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
我比較笨..希望大家幫我解一下.謝謝....
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