求解释

问题如下：

A trading portfolio consists of two bonds, A and B. Both have modified duration of 3 years and face value of USD 1,000. Bond A is a zero-coupon bond, and its current price is USD 900. Bond B pays annual coupons and is priced at par. What is expected to happen to the market prices of bond A and bond B, in dollar terms, if there is a parallel upward shift in the yield curve of 1%?

选项：

A.

Both bond prices will move up by roughly the same amount.

B.

Both bond prices will move up, but bond B will gain more than bond A.

C.

Both bond prices will move down by roughly equal amounts.

D.

Both bond prices will move down, but bond B will lose more than bond A.

解释：

中文解析：

如果是平行移动，价格的变化ΔP = -PΔ𝑦*D

P 当前价格

Δ𝑦 利率变动

D 是duration

在其他条件相同的情况下，收益率曲线移动的绝对值对当前定价较高的债券的影响更大。向上的平行曲线运动使债券更便宜。

选D

Assuming parallel movements to the yield curve, the expected price change is:

ΔP = -PΔ𝑦*D

where;

P is the current price or net present value

Δ𝑦 is the yield change

D is duration

All else equal, the impact of a yield curve move is stronger in absolute terms at the bond which is currently priced higher. Upward parallel curve movements make bonds cheaper.