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固定收益证券姚长辉第一章课后题答案

固定收益证券姚长辉第一章课后题答案固定收益证券第一章作业 1 解:
3年复利:p,1000/1,10%,751.31,,
6半年复利:p,1000/(1,5%),746.22
12季复利:p,1000/(1,2.5%),743.65
36月复利:p,1000/(1,10%/12),741.74
1095天复利:p,1000/(1,10%/365),740.85
3n0.3 连续复利:p,1000/(1,10%/n),1000/e,740.82
2解:
8年复利:1000(1,r),2000,r,0.0905
16半年复利:1000(1,r/2),2000,r,0.0885
32季复利:(1,r/4),2,r,0.0876
96月利率:(1,r/12),2,r,0.0870
2920天利率:(1,r/365),2,r,0.0867
8n连续利率:(1,r/n),2,r,0.08663解:
复利4%,年计息:
r1,4%,e,r,ln1.04,0.0392
复利,年计息:20%
r1,20%,e,r,ln1.2,0.1823
复利20%,季计息:
4r4(1,20%/4),e,r,ln1.05,0.1952 复利20%,月计息:
12r12(1,20%/12),e,r,ln(1,20%/12),0.1984
4解:
净价,101,23/32,101.71875
应计利息,100,0.09125/2,79/184
100(1,0.09125/2) 全价,105x1,,2184
全价,净价,应计利息
x,0.029911851解得: 故买入收益率为0.029911851 同理卖出收益率为0.027782327
5解:
答:(1)设逆浮动利率债券的利率公式为X
5000*9%=3000*(LIBOR+3%)+2000X
解得X=18%-1.5LIBOR
逆浮动利率债券的利率确定公式为18%-1.5 month LIBOR
(2)因为0<LIBOR<=12%
浮动利率债券的利率=1month LIBOR+3%,故顶为15%,底为3%
逆浮动利率债券的利率=18%-1.5monthLIBOR,故顶为18%,底为0
6 解:
5000/100*98.25 =4912.5元
所以投资者购买该债券需支付的金额 4912.5元 7 解:
浮动利率= LIBOR+1.25%=6.5%+1.25%=7.725%
半年支付的利率水平=7.725%/2=3.875%。

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