问

问题如下：

Using the information below, which bond has the greatest money duration per 100 of par value assuming annual coupon payments and no accrued interest?

选项：

A.

Bond A

B.

Bond B

C.

Bond C

解释：

B is correct.

Bond B has the greatest money duration per 100 of par value. Money duration

(MoneyDur) is calculated as the annual modified duration (AnnModDur) times the full price

(PV^full) of the bond including accrued interest. Bond B has the highest money duration per 100 of par value.

MoneyDur = AnnModDur × PV^full

MoneyDur of Bond A = 5.42 × 85.00 = 460.70

MoneyDur of Bond B = 8.44 × 80.00 = 675.20

MoneyDur of Bond C = 7.54 × 85.78 = 646.78

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。