请问b选项和c选项的区别在哪里?
问题如下图:
选项:
A.
B.
C.
解释:
发亮_品职助教 · 2018年04月16日
同学你好。
B选项,是在比较短端收益率和长端收益率谁的波动更大。其实也就是在讨论term structure of yield volatility。根据题干的描述,呈现一种downward sloping的yield volatility。也就是说短期利率的波动性大于长期利率的波动性。因此长期利率相比更加稳定。
C选项是在讨论债券价格的波动。C选项说到的债券价格的波动会受到B选项说到的yield volatility的影响,但同时还受到其他因素共同影响,因此C选项的always不对。
仅仅从收益率的波动率大小是无法判断债券价格的波动大小的。
这是因为债券价格的波动大小受到两个因素的影响:
1. 债券YTM每变动1bp对债券价格的影响,其实也就是债券的duration,或者更加精确包括convexity。
2. 债券YTM的波动大小,其实也就是债券的yield volatility。
两者共同作用才能判断债券价格的波动。
在downward sloping的yield volatility下,长期收益率的波动性是比短期收益率小,但时长期债券的duration大,这样乘下来长期债券的价格波动不一定会小。
例如,一个长期债券的modified duration是25;一个短期债券的modified duration是5。因为短期收益率的波动性大,我们假设短期收益率减小30bp,长期收益率波动性小,我们假设长期收益率减少10bp。
这样的话,在这种假设下,短期债券的价格变化为:30bp 乘以 5 = 1.5%
长期债券的价格变化为:10bp 乘以 25 =2.5%
发现长期债券的价格变化更大,这样直接就否定了C选项的always。
讲义里的相关内容:
粉红豹 · 2018年09月16日
景老师,你为何如此专业!你每次的讲解我都想背下来。。。
wzf · 2019年09月21日
同赞,景老师真的太棒了!
Lance · 2023年07月17日
这样的解释就非常清楚
NO.PZ2016031001000129 问题如下 Whiof the following statements relating to yielvolatility is most accurate? If the term structure of yielvolatility is wnwarsloping, then: A.short-term rates are higher thlong-term rates. B.long-term yiel are more stable thshort-term yiel. C.short-term bon will always experiengreater prifluctuation thlong-term bon. B is correct.If the term structure of yielvolatility is wnwarsloping, then short-term bonyiel-to-maturity have greater volatility thfor long-term bon. Therefore, long-term yiel are more stable thshort-term yiel. Higher volatility in short-term rates es not necessarily meththe level of short-term rates is higher thlong-term rates. With a wnwarsloping term structure of yielvolatility, short-term bon will not always experiengreater prifluctuation thlong-term bon. The estimatepercentage change in a bonpripen on the mofieration anconvexity well on the yielto maturity change. 考点term structure of yielvolatility解析B比较短期收益率和长期收益率。根据题干的描述,呈现一种向下倾斜的yielvolatility,也就是说短期利率的波动性大于长期利率的波动性。因此长期利率相比更加稳定。故B正确。 老师好,这个图啥样啊 ,是横轴t, y轴volatility吗?我本来以为是x为t,y为yiel
NO.PZ2016031001000129 问题如下 Whiof the following statements relating to yielvolatility is most accurate? If the term structure of yielvolatility is wnwarsloping, then: A.short-term rates are higher thlong-term rates. B.long-term yiel are more stable thshort-term yiel. C.short-term bon will always experiengreater prifluctuation thlong-term bon. B is correct.If the term structure of yielvolatility is wnwarsloping, then short-term bonyiel-to-maturity have greater volatility thfor long-term bon. Therefore, long-term yiel are more stable thshort-term yiel. Higher volatility in short-term rates es not necessarily meththe level of short-term rates is higher thlong-term rates. With a wnwarsloping term structure of yielvolatility, short-term bon will not always experiengreater prifluctuation thlong-term bon. The estimatepercentage change in a bonpripen on the mofieration anconvexity well on the yielto maturity change. 考点term structure of yielvolatility解析B比较短期收益率和长期收益率。根据题干的描述,呈现一种向下倾斜的yielvolatility,也就是说短期利率的波动性大于长期利率的波动性。因此长期利率相比更加稳定。故B正确。 可以麻烦老师用curve讲解一下为什么wnwarslope是短期波动更大而uploa小呢?
wnwarsloping什风意思
请问利率upwar动的影响和wnwarshort term 和 long term一样吗?
想问下A,是不是A改成volatility are higher 就对了?