NO.PZ2023052301000060
问题如下:
An investment-grade bond with modified duration of 7 and reported convexity of 0.51 increases in price by 9.93% after a yield spread change. The value of the spread change would be closest to:
选项:
A.-1.5%
B.0.15%
C.1.5%
解释:
A is correct.
%∆PVFull = −(AnnModDur × ∆Spread) + 0.5 × AnnConvexity ×(∆Spread)^2.
0.0993 = −(7 x ∆Spread) + 0.5× (51) × (∆Spread)^2
∆Spread =-0.015 = -1.5%.
0.0993 = −(7 x ∆Spread) + 0.5× (51) × (∆Spread)^2
带入∆Spread =-0.015 = -1.5%.
0.0993=0.105+0.005738
右边等于0.110738,等式不成立