特許金融分析師CFA一級必背高頻考點(diǎn)：固定收益公式盤點(diǎn)

CFA一級的固定收益有許多公式，這些公式非?；A(chǔ)，熟記它們不僅對深入理解知識(shí)點(diǎn)有幫助，還能為之后的學(xué)習(xí)打下堅(jiān)實(shí)的基礎(chǔ)?？靵砗托【幰黄鹂纯窗?！

【考試科目】CFA一級：Fixed Income

【考頻分析】考頻：★★★

【復(fù)習(xí)程度】熟記公式

【高頻考點(diǎn)】公式

1. For an annual-coupon bond with N years to maturity:

price =

2. For a semiannual-coupon bond with N years to maturity:

price =

3. Bond Value Using Spot Rates:

no-arbitrage price =

4. Full Price Between Coupon Payment Dates

=(Bond value at last coupon date based on the current YTM) × (1+ YTM/#)^t/T

, where # is the number of coupon periods per year, t is the number of days from the last coupon payment date until the date the bond trade will settle, and T is the number of days in the coupon period.

5. Flat Price = full price – accrued interest

6. Current Yield =

7. Forward and Spot Rates: (1 + S₂)² = (1 + S₁)(1 + 1y1y)

8. Option-Adjusted Spread: OAS = Z-spread ? option value

9. Modified Duration =

10. Approximate Modified Duration =

11. Effective Duration =

12. Money Duration = annual modified duration × full price of bond position

13. Money Duration per 100 units of par value =annual modified duration × full bond price per 100 of par value

14. Price Value of a Basis Point: PVBP = [(V_– ? V₊) / 2]

15. Approximate Convexity =

16. Approximate Effective Convexity =

17. %ΔFull Bond Price= –annual modified duration(ΔYTM) +annual convexity(ΔYTM)²

18. Duration Gap = Macaulay duration ? investment horizon

19. Return Impact ≈ ?duration × Δspread +convexity × (Δspread)²

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