题目
An investor buys a 6% annual payment bond with three years to maturity. The bond has a yield-to-maturity of 8% and is currently priced at 94.845806 per 100 of par. The bond’s Macaulay duration is closest to:
选项
A.2.62.
B.2.78.
C.2.83.
答案
C
解析
C is correct. The bond’s Macaulay duration is closest to 2.83. Macaulay duration (MacDur) is a weighted average of the times to the receipt of cash flow. The weights are the shares of the full price corresponding to each coupon and principal payment.「huixue_img/importSubject/1564548168857817088.png」Thus, the bond’s Macaulay duration (MacDur) is 2.83.
这道题目问的是投资者购买3年到期的6%的年度支付债券。该债券的到期收益率为8%，目前定价为每100面值94.845806英镑。债券的麦考利久期最接近： C是正确的。债券的麦考利久期最接近2.83。麦考利久期（MacDur）是收到现金流的加权平均时间。权重是与每张息票和本金支付相对应的全部价格的份额。 因此，债券的麦考利久期（MacDur）是2.83。