Iris asked in 教育與參考考試 · 1 decade ago

債券,求其存續期間為多少元?

面額1000元,票面利率7%,殖利率(到期收益率)7%,到期期間2年,試求存續期間為多少?

能附說明更好....TKS!!

1 Answer

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  • 1 decade ago
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    存續期間,白話來講就是現金流量的加權平均到期時間。

    因題目未說明債券是每年付息還是半年付息,所以以下提供兩種解答。

    題目中票面利率=殖利率,所以是平價發行,債券價格=1000

    Duration = SUM(現金流量現值*時間)/債券價格

    計算結果:

    1.一年付息一次:

    Duration=[(70*1)/(1.07)+(1070*2)/(1.07^2)]/1000=1.9346

    2.半年付息一次:

    Duration=[(35*0.5)/(1.07^0.5)+(35*1)/(1.07^1)+(35*1.5)/(1.07^1.5)+(1035*2)/(1.07^2)]/1000=1.9051

    Source(s): 自己
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