NO.PZ2018062006000132
问题如下:
An annual coupon bond is priced at par value, the coupon rate is 5%, and there are 10 years to its maturity from now. Suppose the investment horizon is 5 years and the approximate modified duration of the bond is 6.872. At the time of purchase, the duration gap should be:
选项:
A.
-2.22
B.
1.87
C.
2.22
解释:
C is correct.
As the bond is priced at its par value, the YTM equals to its coupon rate, which is 5%.
The approximate Macaulay duration = the approximate modified duration × (1+ yield-to-maturity) = 6.872× 1.05 = 7.2156
Duration gap = Macaulay duration - investment horizon = 7.2156-5 = 2.2156
考点:duration gap
解析:duration gap = Macaculay duration - investment horizon = Modified duration × (1+y) - investment horizon = 6.872 × 1.05 - 5 = 2.2156,故选项C正确。
我怎么对Duration gap 没有印象呢