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CFA一定过! · 2023年11月11日

没理解

NO.PZ2023052301000021

问题如下:

Exceptions to the maturity effect exist for bonds that have:

选项:

A.

long maturities, make small coupon payments, and trade at a discount.

B.

short maturities, have high coupon rates, and trade at a discount.

C.

long maturities, have high coupon rates, and trade at a premium.

解释:

A is correct. Exceptions to the maturity effect are rare and occur only for low-coupon (but not zero-coupon) long-term bonds trading at a discount.

B is incorrect because the maturity effect holds for bonds that have short maturities and high coupons.

C is incorrect because the maturity effect always holds on bonds priced at a premium above par value.

麻烦解释一下 对应哪个知识点

2 个答案

吴昊_品职助教 · 2023年11月22日

嗨,爱思考的PZer你好:


对应基础班视频位置如下:

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努力的时光都是限量版,加油!

吴昊_品职助教 · 2023年11月12日

嗨,爱思考的PZer你好:


题目让我们选的是maturity effect的例外特殊情况。也就是下列哪一种情况下,maturity effect不成立。

maturity effect指的是期限越长,duration越大,价格对于利率变化更敏感。那么题目要我们找到的是maturity effect不成立的情况,也就是期限越长,duration不一定越大。我们看下图,横坐标是期限,纵坐标是duration。我们看下图中的折价债券,它的duration一开始随着maturity的增加而增加,但是到了某一个点出现了反转,maturity再增加一点点,它的duration不增反降了。所以discount bond,即折价发行的债券在我画红框的区域里违反了maturity effect的特性。所以这道题选A,长期的折价债券会违反maturity effect。



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虽然现在很辛苦,但努力过的感觉真的很好,加油!

JayJie · 2023年11月22日

这个课上没讲到啊

欧阳美蛋 · 2024年01月04日

想问下我能理解long maturities, 和trade at a discount. make small coupon payments这条怎么理解

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