标题: Question about EAY [打印本页] 作者: Roflnadal 时间: 2013-4-22 12:22 标题: Question about EAY
This has been bothering me for a little while:
I have a 90 day holding period yield of 1.3%. The annual rate would be:
(1 + 0.013)^(365/90) -1 = 0.0537787
The BDY would be:
2 * [(1 + 0.013)^(365/180) -1] = 0.0530745
along the same lines, if I take the annual rate and try to get back to the BDY:
2 * [(1 + 0.0537787)^(.5) -1] = 0.0530745
HOWEVER, my question is why do I have to use 0.5 as the exponent to get back to the semi-annual rate instead of 180/365? If I use 180/365 I get a different number:
2 * [(1 + 0.0537787)^(180/365) -1] = 0.0523380作者: mp3bu 时间: 2013-4-22 12:23
you could use either i guess but 180/365 does not = .5
180/360= .5作者: Londonrocks 时间: 2013-4-22 12:24
After thinking about this, I guess it is just a matter of convention. The BDY is 2 * the semi-annual yield so when you have the annual rate of 0.0537787 and you want to go back to semi-annual, you have to think in terms of 1/2 a year so the exponent is 0.5, not 180 days.
Let me know if my reasoning is incorrect, thanks.
