寧靜 asked in 商業與財經稅捐台灣 · 1 decade ago

救郎喔~~~~財務管理相關問題(20點)

F = 100,000 票面利率 10% YTM = 5% 每年付一次 五年到期

請問P(債卷價格評估)= ??? , DURATOW = ???

請高手告訴我如何算 ><...

小弟在此獻上20點~~~ 感激不盡...

1 Answer

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  • 1 decade ago
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    面值=每年利息/YTM的t次方+本金(F)/YTM的五次方 t=期數

    PV=10000/(1.05)+10000/(1.05)^2+10000/(1.05)^3+10000/(1.05)^4+10000/(1.05)^5+100000/(1.05)^5

    =10000*4.329477+100000*0.783526

    =121647

    你應該是問DURATION吧

    Duration指的是債券價格跟利率變化的敏感度.

    他的公式有幾個步驟:

    1. 先算出i期的權重 Wt= [CFt/(1+YTM)^t] / Bond price ; YTM 是指到期殖利率

    2.DURATION= Σt*Wt t=期數

    3. duration={1*10000/(1.05)+2*10000/(1.05)^2+3*10000/(1.05)^3+4*10000/(1.05)^4+5*10000/(1.05)^5+5*100000/(1.05)^5}/121647

    4.duration=(9523.81+9070.29*2+8638.38*3+8227.02*4+7835.26*5+78352.62*5)/121647

    =517426.91/121647=4.25

    Source(s):
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