开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

WINWIN8 · 2022年08月19日

int rate的改变

* 问题详情,请 查看题干

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).

你好小助手,这道题我做对了,但我的思路是这样的:在场景1和2里,利率都上升了,代表yield curve inverted了,那么持有长期的bond收益率就会低。 在场景3里,利率下降了,代表yield curve 是upward的, 那么持有长期就盈利更多,所以bond 3会outperform.

我这样理解这个题,对吗?

3 个答案
已采纳答案

星星_品职助教 · 2022年08月19日

同学你好,

本题应从duration角度去理解。

当利率上升时,债券价格会下降,此时duration小的债券价格下降的少,即outperform。所以在scenario1 & 2中,Bond 1>2>3.

当利率下降时,债券价格会上升,此时duration大的债券价格涨得多,即outperform。所以在scenario 3中,Bond 3>2>1.

星星_品职助教 · 2022年08月19日

@STRENGTH8 对的。

星星_品职助教 · 2022年08月19日

@STRENGTH8

另外两只债券价格下降的更多,价格下降最少的债券相对的表现就是最好的。

  • 3

    回答
  • 0

    关注
  • 495

    浏览
相关问题

NO.PZ201512181000007205 问题如下 Baseonly on Exhibits 2 an3, it is most likely thunr: A.Scenario 1, Bon2 outperforms Bon1 B.Scenario 2, Bon1 unrperforms Bon3. C.Scenario 3, Bon3 is the best performing security C is correct. The change in value of a bonis inversely relateto a change in yiel Given a bonpriceB with ration anyielchange of Δy, the rate of return or percentage prichange for the bonis approximately given follows: ΔB/B ≈ -y/(1 + y). Unr Scenario 3, interest rates crease 20 bps. In environment of creasing interest rates, the bonwith the highest ration will have the greatest positive return. Bon3 ha ration of 10.2, whiis greater ththof both Bon1 (ration = 1.3) anBon2 (ration = 3.7). Baseonly on Exhibits 2 an3, it is most likely thunr:A.Scenario 1, Bon2 outperforms Bon1B.Scenario 2, Bon1 unrperforms Bon3.C.Scenario 3, Bon3 is the best performing security

2023-05-04 11:15 2 · 回答

NO.PZ201512181000007205问题如下Baseonly on Exhibits 2 an3, it is most likely thunr: A.Scenario 1, Bon2 outperforms Bon1 B.Scenario 2, Bon1 unrperforms Bon3. C.Scenario 3, Bon3 is the best performing security C is correct. The change in value of a bonis inversely relateto a change in yiel Given a bonpriceB with ration anyielchange of Δy, the rate of return or percentage prichange for the bonis approximately given follows: ΔB/B ≈ -y/(1 + y). Unr Scenario 3, interest rates crease 20 bps. In environment of creasing interest rates, the bonwith the highest ration will have the greatest positive return. Bon3 ha ration of 10.2, whiis greater ththof both Bon1 (ration = 1.3) anBon2 (ration = 3.7). 老师, 话说能不能一下c 为什么正确。 另外,想确认一下 对于a 和b的理解,就是ration 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ration 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, an2 outperform 3. 是这样子嘛?

2022-08-07 12:10 1 · 回答

NO.PZ201512181000007205 这题我通过计算 (-lta y)能选出正确答案,还是需要通过lta P/P这个思路才对?

2021-10-03 07:19 1 · 回答

NO.PZ201512181000007205 老师,可以把这几个公式给我们呈现一下吗?既然我们都问了,就辛苦老师了!麻烦不要只回答,叫我们去 固收看,好吗!拜托了!求知若渴

2021-04-28 12:43 1 · 回答