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标题: Quants Question [打印本页]

作者: sabre 时间: 2011-7-13 13:44 标题: Quants Question

I found this q in schwesers mock exam 2010 :

A 180-day U.S. Treasury bill has a holding period yield (HPY) of 2.375%. The
bank discount yield (in %) is closest to :

A. 4.640.
B. 4.750.
C. 4.875.
And My answer is B, since bank discount yeild = (HPY)

作者: sgupta0827 时间: 2011-7-13 13:44

HPY * 360/t is the money market yield. not the bank discount yield.

the formula for the bank discount yield is Discount/Face value * (t/360)

you have to go from money market to bank discount using their formula. thats why A is correct.

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