这个公式怎么在课件里没找到

NO.PZ2023090201000090

问题如下：

The price value of a basis point (PVBP) for a bond with a full price of 103.50 and a modified duration of 6.2 is closest to:

选项：

A.0.0642. B.0.6420. C.6.4200.

解释：

A is correct.

Money duration is the price value of a basis point (PVBP) for the bond. The PVBP is an estimate of the change in the full price given a 1 bp change in the yield-to-maturity. Here: −6.2 × 0.0001 = 0.00062 and PVBP = 0.00062 × 103.50 = 0.06417, rounded to 0.0642.

考点：PVBP

解析：PVBP = Market value × Modfified duration × 0.0001 = 103.50 × 6.2 × 0.0001 = 0.06417

PVBP = Market value × Modfified duration × 0.0001 = 103.50 × 6.2 × 0.0001 = 0.06417

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吴昊_品职助教 · 2024年05月17日

嗨，爱思考的PZer你好：

1、Money duration = Market value × Modified duration，衡量的是：利率变动一个单位时，债券的价值变动金额。

如果把这个利率变动的1单位标准化到1bp，就是PVBP的概念。

2、PVBP = Market value × Modified duration × 0.0001，意思就是：利率变动1bp时，债券价格的变动金额。

3、所以PVBP是从money durtaion的公式推导来的，PVBP是将Money duration标准化到1bp：

PVBP=Money duration × 0.0001=Market value × Modified（Effective） duration× 0.0001（将money durtaion的公式代入）

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ2023090201000090 问题如下 The privalue of a basis point (PVBP) for a bonwith a full priof 103.50 ana mofieration of 6.2 is closest to: A.0.0642. B.0.6420. C.6.4200. A is correct. Money ration is the privalue of a basis point (PVBP) for the bon The PVis estimate of the change in the full prigiven a 1 change in the yielto-maturity. Here: −6.2 × 0.0001 = 0.00062 anPV= 0.00062 × 103.50 = 0.06417, rounto 0.0642. 考点PVBP解析PV= Market value × Moifieration × 0.0001 = 103.50 × 6.2 × 0.0001 = 0.06417 money ration是利率变动1%，价格变动。PVBP是利率变动0.01%，价格变动。那为什么从money ration到PVBP要×0.0001呢

2024-08-15 09:58 2 · 回答

这个公式怎么在课件里没找到

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