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carrie_w2008 · 2024年02月25日

每个选项为什么有两个收益率

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2018122701000061

问题如下：

A bond portfolio consists of five bonds:

Bond 1: 5%, annual-pay bond with a 10-year maturity and a yield of 4.5%.

Bond 2: 5%, semiannual-pay bond with a 10-year maturity and a yield of 4.5%.

Bond 3: A zero-coupon bond with a 10-year maturity and a yield of 4.5%.

Bond 4: 4%, semiannual-pay bond with a 10-year maturity and a yield of 4.5%.

Bond 5: 5%, annual-pay bond with a 10-year maturity and a yield of 5.5%.

Which of the following statements about these bonds is Correct?

选项：

A.

Bond 1 has a shorter duration than Bond 2.

B.

The Macaulay duration of Bond 3 is five years.

C.

Bond 4 has a shorter duration than Bond 2.

D.

The DV01 of Bond 5 is lower than the DV01 of Bond 1.

解释：

D is correct.

考点 ： Measures of Pricing Sensitivity Based on Parallel Yield Shifts

解析 ： Increasing the yield will lower the DV01. Since Bond 5 has a higher yield than Bond 1, it must have a lower DV01. Choice B is incorrect. The Macaulay duration of a zero-coupon bond will be equal to its maturity Choices A and C are incorrect. All else equal, a semiannual-pay bond will have a shorter duration than an annual-pay bond, so Bond 2 has a shorter duration than Bond 1. A premium bond will have a shorter duration than a discount bond, so Bond 2 will have a shorter duration than Bond 4.

请问老师选项开始的收益率指什么，是票面吗？最后那个收益率是实际收益率吗

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1 个答案

李坏_品职助教 · 2024年02月26日

嗨，爱思考的PZer你好：


题目最后问的是Which of the following statements about these bonds is Correct? 意思是关于这些债券（bonds，复数形式）的叙述哪一项是正确的？

题目信息里面每一个bond的第一个百分比表示coupon rate（票面利息率），最后那个百分比是yield（到期收益率）。


ABCD四个选项，主要考查的是久期的性质。债券的到期收益率越高，DV01越小，所以D正确。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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