报价问题

问题如下：

Bond A, B and C are all annual coupon bonds and there are no accrued interests on the bond. Prices are per 100 of par value. According to the data, which of the following has the greatest money duration?

选项：

A.

Bond A

B.

Bond B

C.

Bond C

解释：

B is correct.

Money duration = annual modified duration × Bond's full price.

The full price of the bond is the bond's flat prices plus the accrued interests. In this case, there are no accrued interests on the bond.

Money Duration of Bond A = 4.97 × 92.00 = 457.24.

Money Duration of Bond B = 7.82 × 88.00 = 688.16.

Money Duration of Bond C = 6.85 × 93.00 = 637.05.

Bond B has the greatest money duration.

考点：money duration

解析：money duration = modified duration × full price。将表格第三列和最后一列数据相乘，即可算出每个债券的money duration，比较后可知：债券B的money duration最大，故选项B正确。