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Ella · 2024年02月13日

可以详细说下A不

NO.PZ2023052301000022

问题如下:

With a constant market discount rate, as a non-callable, fixed-coupon bond approaches maturity:

选项:

A.

the price–yield relationship will become more convex.

B.

a low-coupon bond trading at a discount will increase in price.

C.

a high-coupon bond trading at a premium will increase in price.

解释:

B is correct. Any bond trading at a discount will increase in price because of the pull-to-par effect.

A is incorrect because the price–yield relationship generally becomes less convex as a bond approaches maturity.

C is incorrect because a high-coupon bond trading at a premium will decrease in price as it approaches maturity.

可以详细说下A不

1 个答案
已采纳答案

pzqa27 · 2024年02月14日

嗨,努力学习的PZer你好:


A选项属于久期和凸度这一块知识点,当债券日趋临近,它的凸度会变小,而不是变大。

你可以从duration这个角度来思考,债券临近到期,它的存续期越短,加权平均还款期也会更短,因此duration更小。convexity和duration都是债券价格对于利率变化的敏感程度,两者是同向变化的。所以,convexity也会更小,即凸度更小,less convex。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!