NO.PZ2022061303000057
问题如下:
A bond with a par value of $100 matures in 10 years with a coupon of 4.5% paid semiannually; it is priced to yield 5.83% and has a modified duration of 7.81. If the yield of the bond declines by 0.25%, the approximate percentage price change for the bond is closest to:
选项:
A.3.91%.
B.1.95%.
C.0.98%.
解释:
B is correct.
Approximate percentage price change = –[7.81 × (–0.0025)] = 0.01953 or 1.95%
考点:duration
解析:注意题干中利率下降0.25%,△yield= -0.25%
△P= -D×△yield= -7.81×(-0.25%) =1.9525%,选项B正确。
percentage price change 不是应该是MAC D *y 的变化量