NO.PZ201512181000007205
问题如下：
Based only on Exhibits 2 and 3, it is most likely that under:
选项：
A.
Scenario 1, Bond 2 outperforms Bond 1
B.
Scenario 2, Bond 1 underperforms Bond 3.
C.
Scenario 3, Bond 3 is the best performing security
解释：
C is correct.
The change in value of a bond is inversely related to a change in yield. Given a bond priced at B with duration D and yield change of Δy, the rate of return or percentage price change for the bond is approximately given as follows: ΔB/B ≈ -DΔy/(1 + y). Under Scenario 3, interest rates decrease by 20 bps. In an environment of decreasing interest rates, the bond with the highest duration will have the greatest positive return. Bond 3 has a duration of 10.2, which is greater than that of both Bond 1 (duration = 1.3) and Bond 2 (duration = 3.7).
老师， 话说能不能解释一下c 为什么正确。 另外，想确认一下 对于选项a 和b的理解，就是duration 是衡量1单位利率变动下的 对价格的影响，利率变动和价格变动是negative 的的关系，所以，其实就是duration 越大价格变动的越多，债券的抗风险能力越差。 所以 无论是那种 scenario 都是 1 outperform 2, and 2 outperform 3. 是这样子嘛？
