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郎布斯吃苹果 · 2023年06月01日

负负得正吧？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200001404

问题如下：

Estimate the corporate bond’s percentage price change if the government yield curve steepens, assuming a 0.20% increase in the 20-year YTM and no change to the 10-year government YTM or corporate G-spread.

选项：

A.

–0.40%

B.

0.40%

C.

–0.04%

解释：

A is correct. The 20 bp increase in the 20-year government YTM causes the 12-year interpolated government YTM to rise 4 bps to 1.98% (or (80% × 1.85%) + (20% × 2.50%)).

The corporate bond percentage price change can be estimated based on the YTM change multiplied by modified duration (–ModDur × ΔYield) familiar from earlier lessons. This percentage price change can be calculated as –0.4% (=–9.99 × 0.04%).

本题债券收益率不变，变动的是govenment ytm.

题目求的是价格的变动=△spread*SD,其中：

△spread=spread1-spread0=2.8-1.96-(2.8-1.94)=-0.04%

price changes=-0.99*-0.04%=0.04%


不是应该选择B么？

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郎布斯吃苹果 · 2023年06月02日

数据更新下：price changes=-9.99*-0.04%=0.4%

2 个答案

pzqa31 · 2023年06月04日

嗨，努力学习的PZer你好：


看英文这个解析△spread=0.04%不是-0-04%，同学你看看对不？或者你能把题干贴出来么？我只能看到答案解析

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

pzqa31 · 2023年06月02日

嗨，努力学习的PZer你好：


同学，我这看不到题干哈，看答案解析，△spread应该是0.04%，中文解析应该是写错了。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

郎布斯吃苹果 · 2023年06月03日

所以应该选择b，对吧？

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NO.PZ202112010200001404 问题如下 Estimate the corporate bons percentage prichange if thegovernment yielcurve steepens, assuming a 0.20% increase in the 20-yeYTM anno change to the 10-yegovernment YTM or corporate G-sprea A.–0.40% B.0.40% C.–0.04% A is correct. The 20 increase in the 20-yeargovernment YTM causes the 12-yeinterpolategovernment YTM to rise 4 bps to 1.98%(or (80% × 1.85%) + (20% × 2.50%)). Thecorporate bonpercentage prichange cestimatebaseon the YTM changemultipliemofieration (–Mour ×ΔYiel familifrom earlier lessons. This percentage prichange cbecalculate–0.4% (=–9.99 × 0.04%). 题目里面没有给出convexity，但是计算价格变动公式里应该是有convexity的啊

2023-06-30 13:18 1 · 回答

NO.PZ202112010200001404 问题如下 Estimate the corporate bons percentage prichange if thegovernment yielcurve steepens, assuming a 0.20% increase in the 20-yeYTM anno change to the 10-yegovernment YTM or corporate G-sprea A.–0.40% B.0.40% C.–0.04% A is correct. The 20 increase in the 20-yeargovernment YTM causes the 12-yeinterpolategovernment YTM to rise 4 bps to 1.98%(or (80% × 1.85%) + (20% × 2.50%)). Thecorporate bonpercentage prichange cestimatebaseon the YTM changemultipliemofieration (–Mour ×ΔYiel familifrom earlier lessons. This percentage prichange cbecalculate–0.4% (=–9.99 × 0.04%). Sprea0.86%下降到0.82%， sprea化是0.82-0.86=-0.04%根据公式，价格变化为-9.99*-0.04=0.4%，是不是选B？

2023-06-04 22:25 2 · 回答

NO.PZ202112010200001404 问题如下 Estimate the corporate bons percentage prichange if thegovernment yielcurve steepens, assuming a 0.20% increase in the 20-yeYTM anno change to the 10-yegovernment YTM or corporate G-sprea A.–0.40% B.0.40% C.–0.04% A is correct. The 20 increase in the 20-yeargovernment YTM causes the 12-yeinterpolategovernment YTM to rise 4 bps to 1.98%(or (80% × 1.85%) + (20% × 2.50%)). Thecorporate bonpercentage prichange cestimatebaseon the YTM changemultipliemofieration (–Mour ×ΔYiel familifrom earlier lessons. This percentage prichange cbecalculate–0.4% (=–9.99 × 0.04%). YTM benchmark原来=0.8*1.85% + 0.2* 2.3%= 1.94%, 现在20年期增加了20bp， 新YTM benchmark= 0.8x1.85% + 0.2(2.3% +0.2%)= 1.98%, 所以12年期YTMb 上升了4bp， 在sprea变的情况下传导至12年期 公司债YTM变化量也为增加4bp， 所以12年期公司债价格变化= -9.99 x 4bp= -0.399%

2022-05-25 03:15 2 · 回答

NO.PZ202112010200001404 老师，可以一下这道题吗？ 直接用0.2%*15.94算价格变动不对吗？

2022-02-10 15:37 1 · 回答