CFA一级的固定收益有许多公式，这些公式非常基础，熟记它们不仅对深入理解知识点有帮助，还能为之后的学习打下坚实的基础。快来和小编一起看看吧！
【考试科目】CFA一级：Fixed Income
【考频分析】考频：★★★
【复习程度】熟记公式
【高频考点】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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