题目5165 · 金融与交易
Why Curve Interpretation Matters
Why is understanding the whole curve more useful for fixed-income trading than memorizing one quoted yield?
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中文题目模块1.3.2 · 金融与量化投资 · 固定收益
利率风险与信用
fixed-income · duration · dv01 · modified-duration · macaulay-duration · rates-risk · convexity · key-rate-dv01
打开 →课程量化策略目录 · 策略类型与业绩
期权、波动率与事件驱动策略
走完前三课的 L1 L/S 股票、L2 stat arb、L3 CTA 之后,任何一本真实的多策略量化基金都还剩下一桶—— 不归这三个模子 但又确实贡献分散 PnL 的策略家族。在 Citadel、Millennium、Two Sigma、Point72、AQR、Mingshi 明汯、High Flyer 幻方、Lingjun 灵均、ZhongCheng 中...
打开 →题目5779 · 金融与交易
Annual-To-Continuous Equivalence
An annually compounded rate of 0.06 is given. What continuously compounded rate produces the same one-year discount factor?
打开 →题目5769 · 金融与交易
Approximate Yield To Maturity
A 4-year annual-coupon bond has face 100, coupon 5, and trades at 95. Using the approximate-YTM formula [C + (F − P)/n] / [(F + P)/2], estimate its yield to maturity (in percent).
打开 →题目5143 · 金融与交易
Average Forward Implied by Two Zero Yields
The continuously compounded 2-year zero yield is 3.0% and the 5-year zero yield is 4.2%. What is the average continuously compounded forward rate from year 2 to year 5?
打开 →题目5777 · 金融与交易
Breakeven Rate Of Two Cashflows
You pay 80 today and receive 100 in exactly 2 years. What annually compounded discount rate sets the present value of the deal to zero (its breakeven rate)?
打开 →题目5121 · 金融与交易
Clean And Dirty Price 1
A bond's annual coupon payment is 6. A buyer settles after 0.25 of the coupon period has elapsed, and the quoted clean price is 101.2. What are accrued interest and dirty price?
打开 →题目5122 · 金融与交易
Clean And Dirty Price 2
A bond's annual coupon payment is 4.5. A buyer settles after 0.5 of the coupon period has elapsed, and the quoted clean price is 98.8. What are accrued interest and dirty price?
打开 →题目5761 · 金融与交易
Clean Price From Dirty Price
A bond pays an annual coupon of 5. At settlement, 0.4 of the coupon period has elapsed and the invoice (dirty) price is 103.5. What is the quoted clean price?
打开 →题目5113 · 金融与交易
Compounding Convention Risk
Why can using the wrong compounding convention create pricing discrepancies even if the quoted number looks similar?
打开 →题目5096 · 金融与交易
Continuous Discounting 1
A cashflow of 100 arrives at time T=1.5. With continuously compounded rate 0.035, what is its present value?
打开 →题目5097 · 金融与交易
Continuous Discounting 2
A cashflow of 180 arrives at time T=2. With continuously compounded rate 0.045, what is its present value?
打开 →题目5774 · 金融与交易
Continuous-To-Annual Equivalence
A rate of 0.05 is quoted as continuously compounded. What annually compounded rate produces the same one-year discount factor?
打开 →题目5764 · 金融与交易
Convexity Contribution To Return
A bond has modified duration 7 and convexity 90. For a yield increase of 150 basis points, what is the convexity adjustment alone (the second-order term) as a percentage of price?
打开 →题目5116 · 金融与交易
Coupon Bond Price 1
A 3-year annual-coupon bond has face 100, coupon rate 0.05, and yield to maturity 0.04. What is its price?
打开 →题目5765 · 金融与交易
Current Yield Of A Discount Bond
A bond with face 100 pays a 4% annual coupon and currently trades at 92. What is its current yield (in percent)? Is it above or below the bond's yield to maturity?
打开 →题目5091 · 金融与交易
Discounted Cashflow 1
You receive 105 in 3 years. If the annual discount rate is 0.05, what is the present value?
打开 →题目5768 · 金融与交易
Duration Of A Zero-Coupon Bond
A zero-coupon bond matures in 7 years and is priced at a yield to maturity of 4.5% (annual compounding). What is its modified duration in years?
打开 →题目5131 · 金融与交易
Duration-Convexity Approximation 1
A bond has current price 102, modified duration 4.3, and convexity 18. Using the duration-convexity approximation, what price do you estimate after a yield change of 0.01?
打开 →题目5132 · 金融与交易
Duration-Convexity Approximation 2
A bond has current price 98.5, modified duration 3.1, and convexity 11. Using the duration-convexity approximation, what price do you estimate after a yield change of -0.015?
打开 →题目5133 · 金融与交易
Duration-Convexity Approximation 3
A bond has current price 105.2, modified duration 5.5, and convexity 25. Using the duration-convexity approximation, what price do you estimate after a yield change of 0.02?
打开 →题目5134 · 金融与交易
Duration-Convexity Approximation 4
A bond has current price 99, modified duration 2.8, and convexity 9. Using the duration-convexity approximation, what price do you estimate after a yield change of -0.01?
打开 →题目5767 · 金融与交易
DV01 From Duration And Price
A bond trades at 98.4 (per 100 face) with modified duration 5.8. What is its DV01 (the price change for a 1-basis-point yield move) per 100 face?
打开 →题目5775 · 金融与交易
Effective Annual Rate From Monthly Nominal
A nominal annual rate of 0.08 is compounded monthly. What is the effective annual rate?
打开 →题目5771 · 金融与交易
Eight-Year Annuity PV
An ordinary annuity pays 12 at the end of each year for 8 years. The flat discount rate is 0.06. What is its present value?
打开 →题目5159 · 金融与交易
Eighteen-Month Discount From a Discount Bond With Coupons
A 1.5-year semiannual 4% coupon bond is priced at 99.8. If D(0.5)=0.99 and D(1)=0.976, what is D(1.5)?
打开 →题目5151 · 金融与交易
Final Stub Forward From Bond Price 1
A 1.5-year bond with face 100 has annual coupon rate 4.0%, paid semiannually, and trades at 100.911. The discount factors are D(0.5)=0.985 and D(1.0)=0.968. Assume the annual-compounded forward rate from 1.0 years to 1.5 years is flat over that stub. What forward rate is implied?
打开 →题目5141 · 金融与交易
Flat Forward From Two Discount Factors
A curve has discount factors D(0.5)=0.992 and D(2)=0.94. If the continuously compounded forward rate is flat over the interval [0.5,2], what is that forward rate?
打开 →题目5148 · 金融与交易
Flat-Zero Roll-Down Under an Unchanged Curve
A 3-year zero-coupon bond is priced off a flat continuously compounded zero curve at 4%. If the curve stays unchanged one year later, what is the bond's price then?
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