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Quant版 - Discount factor question
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话题: discount话题: assume话题: 10话题: factor话题: annually
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1 (共1页)
p********0
发帖数: 186
1
Assume r is the yield, compound semi-annually.
D(10) is the discount factor in 10 years.
1) D(10) = 1/(1+r)^10
2) D(10) = 1/(1+r/2)^20
is 2) correct? ****
Assume 5 year coupon rate 6 paid semi-annually
3*(d(0.5)+d(1)+...+d(5))
1) d(0.5) = (1+r/2)^1
2) or d(0.5) = (1+r)^1/2
I think 2) is correct? ***
Is there conflict between **** and ***
c******n
发帖数: 49
2
第二个应该是1)

【在 p********0 的大作中提到】
: Assume r is the yield, compound semi-annually.
: D(10) is the discount factor in 10 years.
: 1) D(10) = 1/(1+r)^10
: 2) D(10) = 1/(1+r/2)^20
: is 2) correct? ****
: Assume 5 year coupon rate 6 paid semi-annually
: 3*(d(0.5)+d(1)+...+d(5))
: 1) d(0.5) = (1+r/2)^1
: 2) or d(0.5) = (1+r)^1/2
: I think 2) is correct? ***

p*******i
发帖数: 309
3
正解
1 (共1页)
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相关话题的讨论汇总
话题: discount话题: assume话题: 10话题: factor话题: annually