题目
The price of a 72-day Treasury bill is quoted as 7.00. Which is nearest to the continuously compounded return (on an actual/365 basis) that an investor will earn on the Treasury bill for the 72-day period?
选项
A.1.40000% per annum with continuous compounding
B.5.60000% per annum with continuous compounding
C.5.71790% per annum with continuous compounding
D.7.14737% per annum with continuous compounding
答案
D
解析
The cash price, P= 100 -72/360×7 = 98.60 such that the continuously compounded return =365/72×LN(1＋1.40/98.60)=0.0714737=7.14737%.短期国债的报价类似一种折扣率。P= 100-72/360×7 = 98.60。连续复利下的收益率=365/72×LN(1＋1.40/98.60)=0.0714737=7.14737%。