10# 99rabbit
我也知道后面那个说的是当前市场利率。
问题是后面那个价格不是我算的,是我去别的网站上搜到的……
3个月的99.96 就是按照yield0.122算出来的 也就是100/(1+0.00122/4)约为99.969 这个误差是因为0.122是四舍五入估算来的所以产生
明显不是100-4/32=99.87
所以我才一直没搞明白 换了多种算法也没算出这个表达方式吻合的答案
32分位报价很常见,但是00-04这个我还真的只在bloomberg上看到过。
http://online.wsj.com/mdc/public/page/2_3021-bondyield.html?mod=topnav_2_3051
GO TO: Range of Municipal Yield Curve Scales
Friday, December 10, 2010
Prices and yields for on-the-run Treasurys, or the most recently issued U.S. Treasury securities, for various maturities. Data as of 3 p.m. ET.
| Maturity | Coupon | Current
price | Previous
price | Change | Yield |
| 01/06/11 | ... | 99.99 | 99.99 | 0.001 | 0.081 |
| 03/10/11 | ... | 99.97 | 99.96 | 0.005 | 0.122 |
| 06/09/11 | ... | 99.91 | 99.91 | unch. | 0.183 |
| 11/17/11 | ... | 99.74 | 99.74 | 0.001 | 0.274 |
| 11/30/12 | 0.500 | 99.75 | 99.75 | unch. | 0.628 |
| 12/15/13 | 0.750 | 99.20 | 99.28 | -0.078 | 1.020 |
| 11/30/15 | 1.375 | 97.27 | 97.53 | -0.266 | 1.955 |
| 11/30/17 | 2.250 | 97.31 | 97.72 | -0.406 | 2.675 |
| 11/15/20 | 2.625 | 94.34 | 94.91 | -0.563 | 3.297 |
| 11/15/40 | 4.250 | 97.09 | 97.50 | -0.406 | 4.426 |
发邮件问了大学的教授,回复如下:
I am not sure why this is the case. It is not expressed the same way for any of the other currencies ie Australia UK etc. You should contact Bloomberg or check their market price quoting protocols.
真不知道bloomberg搞什么呢……