在schweser notes 第五本的introduction to the measurement of interest rate risk这一章节(P154)的课后习题中: 题目是: The current price of a $1000,7-year, 5.5% semiannual coupon bond is $1029.23 . The bond's PVBP is closet to: A.$5.93 B.$0.60 C.$0.05 答案是 B 他的解释是PVBP=initial price - Price if yield is changed by 1 bp. 这个是没错。 然后calculate the yield:PV=-1029.23, FV=1000. PMT=(0.055*1000)/2,N=14; --> I/Y=2.49998 ---> yield=2*2.49998=5; Next,compute the price of bond ar a yield of 5.00%+0.01% .... Finally ,PvBp=....
我
的疑问在红字标出来的那句解释上,semiannual coupon bond是7-year 没错,但是 current
price($1029.23)到FV($1000)的这个时段有没有7 years 呢?如果不确定的话,又怎么能用N=7*2拿来计算 I/Y 呢? 请各位高手指点一下 万分感谢