久期计算题答案

C Y M

10%12%12.25

0.050.06

t Ct1/(1+y/2)^t Ct/(1+y/2)^t t*Ct/(1+y/2)^t 150.94340 4.71698 4.71698

250.89000 4.449988.89996

350.83962 4.1981012.59429

450.79209 3.9604715.84187

550.74726 3.7362918.68145

650.70496 3.5248021.14882

750.66506 3.3252923.27700

850.62741 3.1370625.09649

950.59190 2.9594926.63543

1050.55839 2.7919727.91974

1150.52679 2.6339428.97331

1250.49697 2.4848529.81816

1350.46884 2.3442030.47454

1450.44230 2.2115030.96107

1550.41727 2.0863331.29488

1650.39365 1.9682331.49170

1750.37136 1.8568231.56598

1850.35034 1.7517231.53094

1950.33051 1.6525731.39874

2050.31180 1.5590231.18047

2150.29416 1.4707830.88632

2250.27751 1.3875330.52556

2350.26180 1.3089930.10669

2450.24698 1.2348929.63743

24.5 2.50.239890.5997214.69306

24.51000.2398923.98868587.72259

求和87.340181217.07348

Dm13.93486麦氏久期

Dm*Dm/(1+y)12.44184修正久期

Dm**Dm*PB1335.06315美元久期

P*

Y(+0.001)105.96924

Y Dm*P*P?P(P-P*)

5%15.61541105.62870107.3043 1.67560

6%15.14348105.67934107.3043 1.62496

7%14.67662105.72944107.3043 1.57486

8%14.21550105.77892107.3043 1.52538

9%13.76080105.82771107.3043 1.47659

10%13.31320105.87574107.3043 1.42856

11%12.87334105.92294107.3043 1.38136

12%12.44184105.96924107.3043 1.33506