NO.PZ2018062006000124
问题如下:
An annual coupon bond with a 5% coupon rate has a yield-to-maturity of 7%, and there are four years to its maturity from now. The estimated price value of a basis point for the bond is:
选项:
A.0.0078.
B.0.0325.
C.0.0569.
解释:
B is correct.
If the YTM decreases by 1bp, the price of the bond is:
PMT = 5, FV=100, I/Y=6.99%,N=4 ,CPT → PV = - 93.258
If the YTM increases by 1bp, the price of the bond is:
PMT = 5, FV=100, I/Y=7.01%,N=4 ,CPT → PV = - 93.193
PVBP of the bond is:
[(PV-) - PV(+)]/2 = [93.258 - 93.193] / 2 =0.0325
考点:PVBP
解析:PVBP衡量的是利率变化1bp,带来的债券价格变化。
分别算出利率下降1个bp的债券价格PV-(93.258)和利率上升一个bp的债券价格PV+(93.193),两者相减再除以2,即可得PVBP=0.0325,故选项B正确。
没说FV=100啊?