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juno asked in 商業與財經投資 · 1 decade ago

計算債券價格,請各位高手幫幫忙~~

我有債券問題想請問~

請各位高手幫幫忙…謝謝你

設今天購買十年到期之公債面額100 萬元,票面利率6%,年付息一次,若YTM 為8%,則其購買價格為865,798,Duration 為7.62,若市場利率為7.9%,則債券價格為多少? (計算至整數,四捨五入)

Update:

麻煩請給我公式…謝謝了~~

2 Answers

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  • 兩容
    Lv 6
    1 decade ago
    Favorite Answer

    版大你好:

    提供您參考參考

    設今天購買十年到期之公債面額100 萬元,票面利率6%,年付息一次,若YTM 為8%,則其購買價格為865,798,Duration 為7.62,若市場利率為7.9%,則債券價格為多少? (計算至整數,四捨五入)

    利率下降0.1%= -0.001

    債券價格變動金額 = -7.62/1.08*-0.001*865798= 6108.7

    865798+6108.7=871906.7

    市場利率為7.9%,則債券價格為871,907元

    圖片參考:http://lh4.ggpht.com/_5cEEW0YqHr0/SvJv_lmbh_I/AAAA...

    http://lh4.ggpht.com/_5cEEW0YqHr0/SvJv_lmbh_I/AAAA...

    Source(s): 二爺
  • Anonymous
    7 years ago

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