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【金融市场与产品】FRM一级每日一题

发表时间:2015-02-03 来源:金程frm 告诉小伙伴:
【编者按】【金融市场与产品】FRM一级每日一题

【金融市场与产品】FRM一级每日一题 

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

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