NO.PZ2019070101000093
问题如下:
The table provides relevant information about four bonds in a portfolio, based on the table, the price change for the 8% bond using effective duration if its YTM decreases by 10 basis points is close to?
选项:
A.
$211,601.25.
B.
$223,532.12.
C.
$219,156.99.
D.
$209,111.50.
解释:
A is correct
考点:Bond Duration-DV01
解析:
对于8% bond:
market value=105×0.25×1,000,000=26,250,000
[(-8×-0.001) + (0.5×122×0.001^2)] *26,250,000 = $211,601.25
老师我计算过程一样,但是为啥子-8x0.001+0.5×122×0.001平方,算出来-0.007939,不是0.008061,是我计算器出现什么问题了咩