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506623496 · 2023年06月04日

应该是正还是负的？

  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%).

Spread从0.86%下降到0.82%，  spread变化是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？

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pzqa015 · 2023年11月27日

嗨，从没放弃的小努力你好：


题目说了， 0.20% increase in the 20-year YTM and no change to the 10-year government YTM or corporate G-spread，只有20年的ytm上涨，10年期ytm和G spread均不变，所以，spread没有下降。

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努力的时光都是限量版，加油！

pzqa015 · 2023年06月05日

嗨，努力学习的PZer你好：


公式△P/P=-md*△y，符号代表的是利率变动方向与价格变动方向相反，具体来说，如果利率上涨，则△y是正数，△P/P是负数；如果利率下降，则△y是负数，△P/P是正数。

这道题思路如下：

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努力的时光都是限量版，加油！

露露66 · 2023年11月26日

老师 我的思路和这位同学的思路一样 spread减少4bp 价格应为正 请解释这个思路为什么不对

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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%). 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=△spreaS其中△spreasprea-sprea=2.8-1.96-(2.8-1.94)=-0.04%prichanges=-0.99*-0.04%=0.04%不是应该选择B么？

2023-06-01 23:59 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